The CVXPortfolio documentation is at cvxportfolio.org.
CVXPortfolio (ConVeX Portfolio Optimization and Simulation) is a toolset based on our paper Multi-Period Trading via Convex Optimization. It is written in Python, its major dependencies are CVXPY and Pandas.
See the examples for basic usage.
If you wish to cite CVXPortfolio, please use:
@article{BBDKKNS:17,
author = {S. Boyd and E. Busseti and S. Diamond and R. Kahn and K. Koh and P. Nystrup and J. Speth},
title = {Multi-Period Trading via Convex Optimization},
journal = {Foundations and Trends in Optimization},
year = {2017},
month = {August},
volume = {3},
number = {1},
pages = {1--76},
publisher = {Now Publishers},
url = {http://stanford.edu/~boyd/papers/cvx_portfolio.html},
}
- Install Anaconda.
- Install cvxpy with conda.
conda install -c cvxgrp cvxpy
- Install CVXPortfolio with pip.
pip install cvxportfolio
- Test the installation with nose.
conda install nose
nosetests cvxportfolio