portfolio_toolkit.optimization package

Submodules

portfolio_toolkit.optimization.compute_var module

portfolio_toolkit.optimization.compute_var.compute_var(optimization: Optimization) → float[source]

Computes Value at Risk (VaR) for a portfolio based on optimization results.

Parameters:: optimization (Optimization) – Optimization object containing portfolio weights and covariance matrix.
Returns:: Value at Risk in monetary units.
Return type:: float

portfolio_toolkit.optimization.optimization module

class portfolio_toolkit.optimization.optimization.Optimization(name: str, currency: str, assets: List[OptimizationAsset], data_provider: DataProvider, returns: DataFrame | None = None, covariance_matrix: DataFrame | None = None, weights: Series | None = None)[source]

Bases: object

Class to represent and manage an asset optimization.

name: str

currency: str

assets: List[OptimizationAsset]

data_provider: DataProvider

returns: DataFrame | None = None

covariance_matrix: DataFrame | None = None

weights: Series | None = None

__init__(name: str, currency: str, assets: List[OptimizationAsset], data_provider: DataProvider, returns: DataFrame | None = None, covariance_matrix: DataFrame | None = None, weights: Series | None = None) → None

portfolio_toolkit.optimization.parser module

portfolio_toolkit.optimization.parser.create_optimization_from_json(data: dict, data_provider: DataProvider) → Optimization[source]

Loads and validates a JSON file containing optimization information.

Parameters:

json_filepath (str) – Path to the JSON file to load data from.
data_provider (DataProvider) – Data provider instance for fetching ticker information.

Returns:

An instance of the Optimization class with loaded assets.

Return type:

Module contents

class portfolio_toolkit.optimization.Optimization(name: str, currency: str, assets: List[OptimizationAsset], data_provider: DataProvider, returns: DataFrame | None = None, covariance_matrix: DataFrame | None = None, weights: Series | None = None)[source]

Bases: object

Class to represent and manage an asset optimization.

__init__(name: str, currency: str, assets: List[OptimizationAsset], data_provider: DataProvider, returns: DataFrame | None = None, covariance_matrix: DataFrame | None = None, weights: Series | None = None) → None

covariance_matrix: DataFrame | None = None

returns: DataFrame | None = None

weights: Series | None = None

name: str

currency: str

assets: List[OptimizationAsset]

data_provider: DataProvider