Portfolio Optimization Python Packages

vectorbt

The backtesting engine that gives you an unfair advantage. Run thousands of trading ideas before others finish one.

skfolio

Python library for portfolio optimization built on top of scikit-learn

pyportfolioopt

Financial portfolio optimization in python, including classical efficient frontier, Black-Litterman, Hierarchical Risk Parity

riskfolio-lib

Portfolio Optimization in Python

cvxportfolio

Portfolio optimization and back-testing.

cpz-ai

Open-source quantitative portfolio optimization, risk analytics, and anti-overfitting strategy certification in Python. The research core of the CPZAI systematic trading operating system.

pyhrp

Cluster-based portfolio allocation on an explicit, inspectable tree: hierarchical risk parity, Schur complementary allocation and hierarchical 1/N

optimalportfolios

Production multi-asset portfolio construction and rolling backtesting in Python

vectorbt-rust

The backtesting engine that gives you an unfair advantage. Run thousands of trading ideas before others finish one.

riskparityportfolio

Fast and scalable construction of risk parity portfolios

ml4t-models

Finance-specific models for asset pricing, prediction, and portfolio learning.

fortitudo-tech

Entropy Pooling views and stress testing combined with Conditional Value-at-Risk (CVaR) portfolio optimization in Python.

okama

Investment portfolio and stocks analyzing tools for Python with free historical data

cpz-quant

Open-source quantitative portfolio optimization, risk analytics, and anti-overfitting strategy certification in Python. The research core of the CPZAI systematic trading operating system.

empyrial

An Open Source Portfolio Backtesting Engine for Everyone | 面向所有人的开源投资组合回测引擎

copulax

JAX-based copula modelling

fincore

Quantitative performance & risk analytics: 150+ financial metrics, portfolio optimization, Monte Carlo simulation, and attribution — the actively maintained successor to empyrical, pyfolio, and alphalens.

riskoptima

The RiskOptima toolkit is a comprehensive Python solution designed to assist investors in evaluating, managing, and optimizing the risk of their investment portfolios. This package implements advanced financial metrics and models to compute key risk indicators, including Value at Risk (VaR), Conditional Value at Risk (CVaR), and volatility assessme

scrilla

A python application that wraps around various financial APIs, calculates statistics and optimizes portfolio allocations.

asrquant

ASRQuant is an open-source Python framework for auditable quantitative finance research, combining backtesting, Monte Carlo simulation, derivatives pricing, risk analytics, portfolio modelling, econometrics, machine learning, visualization, reproducibility, and implementation-sensitivity analysis.

quantlite

A fat-tail-native quantitative finance toolkit for Python.

goal-based-allocation

Semi-analytical dynamic mean-variance allocation and terminal-wealth risk under regime-switching jump-diffusions

tradeflow-engine

Layered, broker-agnostic algorithmic trading engine (Alpaca adapter included): scanner → strategy → backtest/live, with parameter optimization and OR-Tools portfolio allocation. Educational.

basanos

Implementing a first hurdle for expected returns