davidcaseria/port_opt

Portfolio Optimization in Python

Portfolio optimization with Python. Pulls stock data from the Yahoo Finance API and solves for an optimal portfolio using CVXOPT.

Material for the blog post http://wellecks.wordpress.com/2014/03/23/portfolio-optimization-with-python/

Dependencies

pip install cvxopt
pip install numpy
pip install scipy
pip install pandas
pip install patsy
pip install statsmodels