python最优投资组合_python中基于投资组合优化方法的金融库

Some research says that "mean variance portfolio optimization" can

give good results. I discussed this in a message

To implement this approach, a needed input is the covariance matrix of

returns, which requires historical stock prices, which one can obtain

using "Python quote grabber" http://www.openvest.org/Databases/ovpyq .

For expected returns -- hmmm. One of the papers I cited found that

assuming equal expected returns of all stocks can give reasonable

results.

Then one needs a "quadratic programming" solver, which appears to be

handled by the CVXOPT Python package.

If someone implements the approach in Python, I'd be happy to hear

about it.

There is a "backtest" package in R (open source stats package callable

from Python) http://cran.r-project.org/web/packages/backtest/index.html

"for exploring portfolio-based hypotheses about financial instruments

(stocks, bonds, swaps, options, et cetera)."