https://github.com/cvxgrp/cvxmarkowitz
Science Score: 26.0%
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○CITATION.cff file
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✓codemeta.json file
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✓.zenodo.json file
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○DOI references
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○Scientific vocabulary similarity
Low similarity (13.7%) to scientific vocabulary
Repository
Basic Info
- Host: GitHub
- Owner: cvxgrp
- License: apache-2.0
- Language: Python
- Default Branch: main
- Size: 71.3 MB
Statistics
- Stars: 26
- Watchers: 5
- Forks: 4
- Open Issues: 15
- Releases: 2
Metadata Files
README.md
cvxmarkowitz
Motivation
We stand on the shoulders of CVXPY.
We solve problems arising in portfolio construction following the ideas of Harry Markowitz. Markowitz gave diversification a mathematical home in the 1950s.
Our assumption is that we solve multiple problems of the same type in a row. The input for the $n$th problem may depend on the outcome of a previous problem, e.g. the $n-1$th. Hence, we need to respect their sequential nature and order.
We can however hope that the problems we construct are DPP compliant. The first time a DPP-compliant problem is solved, CVXPY compiles it and caches the mapping from parameters to problem data. As a result, subsequent rewritings of DPP problems can be substantially faster.
In practice, the problems are not constant in size. Assets are added or removed, factors are added or removed, and so on. We expect the user is providing the number of assets a priori. We can then construct a problem suitable for a number of assets equal or smaller than the one provided. Using this approach, we keep the number of assets fixed by setting the weights for the assets not used to zero. Hence we do not need to recompile the problem as a new asset has to be added.
Every problem has be constructed by a Builder. Here's a builder for a classic minimum variance problem. The builder inherits from the Builder and implements the abstract method build. The builder remains flexible. At this stage it is possible to add or remove constraints, Only once we trigger the build() method, we construct the problem and compile it.
For injecting values for data and parameter into the problem, we use the update method.
Installation
You can install the package via PyPI:
bash
pip install cvxmarkowitz
uv
You need to install task. Starting with
bash
task markowitz:install
will install uv and create the virtual environment defined in pyproject.toml and locked in uv.lock.
marimo
We install marimo on the fly within the aforementioned virtual environment. Executing
bash
task markowitz:marimo
will install and start marimo.
Owner
- Name: Stanford University Convex Optimization Group
- Login: cvxgrp
- Kind: organization
- Location: Stanford, CA
- Website: www.stanford.edu/~boyd
- Repositories: 102
- Profile: https://github.com/cvxgrp
GitHub Events
Total
- Create event: 33
- Release event: 1
- Issues event: 9
- Watch event: 5
- Delete event: 23
- Issue comment event: 24
- Push event: 121
- Pull request review event: 2
- Pull request event: 56
- Fork event: 2
Last Year
- Create event: 33
- Release event: 1
- Issues event: 9
- Watch event: 5
- Delete event: 23
- Issue comment event: 24
- Push event: 121
- Pull request review event: 2
- Pull request event: 56
- Fork event: 2
Issues and Pull Requests
Last synced: 10 months ago
All Time
- Total issues: 61
- Total pull requests: 151
- Average time to close issues: 3 days
- Average time to close pull requests: about 21 hours
- Total issue authors: 4
- Total pull request authors: 5
- Average comments per issue: 1.38
- Average comments per pull request: 0.7
- Merged pull requests: 138
- Bot issues: 0
- Bot pull requests: 70
Past Year
- Issues: 5
- Pull requests: 53
- Average time to close issues: 29 minutes
- Average time to close pull requests: about 17 hours
- Issue authors: 1
- Pull request authors: 3
- Average comments per issue: 0.0
- Average comments per pull request: 0.75
- Merged pull requests: 46
- Bot issues: 0
- Bot pull requests: 30
Top Authors
Issue Authors
- tschm (54)
- dependabot[bot] (2)
- phschiele (2)
- sunilshah (1)
Pull Request Authors
- dependabot[bot] (136)
- tschm (87)
- pre-commit-ci[bot] (6)
- phschiele (3)
- kasperjo (1)
Top Labels
Issue Labels
Pull Request Labels
Dependencies
- actions/checkout v3 composite
- cvxgrp/.github/actions/test main composite
- pre-commit/action v3.0.0 composite
- JamesIves/github-pages-deploy-action v4.2.2 composite
- actions/checkout v3 composite
- actions/download-artifact v3 composite
- cvxgrp/.github/actions/jupyter main composite
- cvxgrp/.github/actions/sphinx main composite
- cvxgrp/.github/actions/test main composite
- actions/checkout v3 composite
- cvxgrp/.github/actions/test main composite
- actions/checkout v3 composite
- cvxgrp/.github/actions/release main composite
- 191 dependencies
- black ^23.1.0 develop
- clarabel ^0.5.1 develop
- cvxpyanalyzer * develop
- cvxsimulator * develop
- jupyter-book 0.15.1 develop
- jupyterlab * develop
- loguru * develop
- mock * develop
- mosek * develop
- pandas * develop
- plotly * develop
- pre-commit * develop
- pylint * develop
- pytest 7.2.0 develop
- pytest-cov 4.0.0 develop
- ruff ^0.0.275 develop
- scikit-learn * develop
- yfinance * develop
- click *
- cvxpy *
- numpyencoder *
- python >=3.8,<4.0
- requests *
- mcr.microsoft.com/devcontainers/python 1-3.9-bookworm build