fincore.optimization

Efficient Frontier

fincore.optimization.frontier.efficient_frontier(returns, n_points=50, risk_free_rate=0.0, short_allowed=False, max_weight=1.0)

Compute the mean-variance efficient frontier.

参数：

名称	类型	描述	默认
returns	DataFrame	Asset returns (T x N). Columns = asset names.	必需
n_points	int	Number of points on the frontier.	50
risk_free_rate	float	Annual risk-free rate (used for Sharpe calculation).	0.0
short_allowed	bool	Whether short selling is allowed.	False
max_weight	float	Maximum weight per asset.	1.0

返回：

类型	描述
dict	'frontier_returns': array of annualised portfolio returns 'frontier_volatilities': array of annualised portfolio volatilities 'frontier_sharpe': array of Sharpe ratios 'frontier_weights': (n_points x N) weight matrix 'min_variance': dict with keys 'weights', 'return', 'volatility' 'max_sharpe': dict with keys 'weights', 'return', 'volatility', 'sharpe' 'asset_names': list of asset names

Risk Parity

fincore.optimization.risk_parity.risk_parity(returns, risk_budget=None, max_iter=1000)

Compute risk-parity portfolio weights.

Each asset's marginal risk contribution is equalised (or matched to a user-supplied risk budget).

参数：

名称	类型	描述	默认
returns	DataFrame	Asset returns (T x N).	必需
risk_budget	ndarray	Target risk budget per asset (sums to 1). Defaults to equal budget 1/N for each asset.	None
max_iter	int	Maximum solver iterations.	1000

返回：

类型	描述
dict	'weights': optimal weight array (N,) 'risk_contributions': risk contribution per asset (N,) 'volatility': portfolio annualised volatility 'asset_names': list of asset names

Optimize

fincore.optimization.objectives.optimize(returns, objective='max_sharpe', risk_free_rate=0.0, target_return=None, target_volatility=None, short_allowed=False, max_weight=1.0, min_weight=None, sector_constraints=None, sector_map=None)

Solve a constrained portfolio optimisation problem.

参数：

名称	类型	描述	默认
returns	DataFrame	Asset returns (T x N).	必需
objective	str	One of 'max_sharpe', 'min_variance', 'target_return', 'target_risk'.	'max_sharpe'
risk_free_rate	float	Annual risk-free rate.	0.0
target_return	float	Required for objective='target_return'. Annualised target.	None
target_volatility	float	Required for objective='target_risk'. Annualised target.	None
short_allowed	bool	Allow negative weights.	False
max_weight	float	Upper bound per asset.	1.0
min_weight	float	Lower bound per asset. Defaults to 0 (or -max_weight if shorts allowed).	None
sector_constraints	dict	{sector_name: (min_alloc, max_alloc)} pairs.	None
sector_map	dict	{asset_name: sector_name} mapping (needed with sector_constraints).	None

返回：

类型	描述
dict	'weights': optimal weight array 'return': annualised expected return 'volatility': annualised volatility 'sharpe': Sharpe ratio 'asset_names': list 'objective': objective used