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An portfolio optimizer considering drawdown restriction

License: BSD 3-Clause "New" or "Revised" License

TeX 2.41% Python 2.71% Jupyter Notebook 94.88%

drawdown-portfolio's Introduction

Portfolio optimization with drawdown restriction

This is a tiny non-package (it's just an stand-alone class in "drawdown/drawdown"), with a portfolio optimizer with drawdown limit.

An usage example can be found in notebooks/example.ipynb

A document giving the mathematical formulation is given in documents/document.pdf

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