Case Study

Mean-Variance Portfolio Package

Dr. Yves J. Hilpisch

The Python Quants GmbH

mvportfolio is a simple Python package to analyze and manage investment portfolios according to the Mean-Variance Portfolio (MVP) theory.

Open a terminal an execute

git clone http://github.com/yhilpisch/mvportfolio
cd mvportfolio
python setup.py install

Open a terminal and execute

pip install git+https://github.com/yhilpisch/mvportfolio.git

Open a terminal and execute

pip install --index-url https://test.pypi.org/simple/ mvportfolio

Some imports first.

from pylab import plt
import mvportfolio as mvp

Second, an instance of the main class MVPPortfolio.

p = mvp.MVPPortfolio(['.SPX', '.VIX'], '2017-1-1', '2018-6-30')

Third, some statistics for the equal weights portfolio.

p.weights

[0.5, 0.5]

p.portfolio_return()

0.1379220899637485

p.portfolio_volatility()

0.6462235282900842

Fourth, the minimum risk portfolio weights.

opt = p.minimum_risk_portfolio()

opt['x']

array([0.93891629, 0.06108371])