/RiskKit_PortfolioOptimization

This module aims to function as a tool to examine portfolio risk and return.

Primary LanguagePython

RiskKit_PortfolioOptimization - UNDER DEVELOPMENT

This module aims to function as a tool to examine portfolio risk and return. As of today, the following functions are available:

  • Drawdown
  • Fama-French DataSet
  • Return calculation
  • Semideviation
  • Skewness
  • Kurtosis
  • Normality – Jarque-Bera
  • VaR Historic
  • CVar Historic
  • VaR Gaussian