{
"cells": [
{
"cell_type": "code",
"execution_count": 1,
"metadata": {},
"outputs": [
{
"name": "stdout",
"output_type": "stream",
"text": [
"Requirement already satisfied: pip in ./venv/lib/python3.10/site-packages (23.2.1)\n",
"Note: you may need to restart the kernel to use updated packages.\n"
]
}
],
"source": [
"%pip install --upgrade pip"
]
},
{
"cell_type": "code",
"execution_count": 2,
"metadata": {
"colab": {
"base_uri": "https://localhost:8080/"
},
"id": "yLacqQR2O_8l",
"outputId": "a46a4c1e-a8a3-44c2-a5da-b6833ec35687"
},
"outputs": [
{
"name": "stdout",
"output_type": "stream",
"text": [
"Note: you may need to restart the kernel to use updated packages.\n",
"Note: you may need to restart the kernel to use updated packages.\n",
"Note: you may need to restart the kernel to use updated packages.\n",
"Note: you may need to restart the kernel to use updated packages.\n",
"Note: you may need to restart the kernel to use updated packages.\n"
]
}
],
"source": [
"%pip install numpy -q\n",
"%pip install pandas -q\n",
"%pip install yfinance -q\n",
"%pip install mosek -q\n",
"%pip install riskfolio-lib -q"
]
},
{
"cell_type": "code",
"execution_count": 3,
"metadata": {
"colab": {
"base_uri": "https://localhost:8080/"
},
"id": "AXkX5PxyPP6u",
"outputId": "c11a8d3b-8413-48a2-cbae-ab200a405332"
},
"outputs": [
{
"name": "stdout",
"output_type": "stream",
"text": [
"[*********************100%***********************] 45 of 45 completed\n"
]
}
],
"source": [
"import numpy as np\n",
"import pandas as pd\n",
"import yfinance as yf\n",
"import riskfolio as rp\n",
"\n",
"# Tickers of assets\n",
"tickers = [\n",
" \"ABCB4.SA\", \"ALUP11.SA\", \"B3SA3.SA\", \"BRSR6.SA\", \"BBSE3.SA\", \"BRAP4.SA\", \"BBAS3.SA\", \"AGRO3.SA\", \"CMIG3.SA\",\n",
" \"CMIG4.SA\", \"CSMG3.SA\", \"CPLE6.SA\", \"CPFE3.SA\", \"CMIN3.SA\", \"CURY3.SA\", \"DIRR3.SA\", \"ENAT3.SA\", \"EGIE3.SA\",\n",
" \"FESA4.SA\", \"GGBR4.SA\", \"GOAU4.SA\", \"MYPK3.SA\", \"RANI3.SA\", \"ITSA4.SA\", \"JBSS3.SA\", \"JHSF3.SA\", \"KEPL3.SA\",\n",
" \"LAVV3.SA\", \"MRFG3.SA\", \"BEEF3.SA\", \"PETR3.SA\", \"PETR4.SA\", \"PSSA3.SA\", \"RAPT4.SA\", \"ROMI3.SA\", \"SANB11.SA\",\n",
" \"CSNA3.SA\", \"TAEE11.SA\", \"VIVT3.SA\", \"TRPL4.SA\", \"TRIS3.SA\", \"UNIP6.SA\", \"USIM5.SA\", \"VALE3.SA\", \"VBBR3.SA\"\n",
"]\n",
"\n",
"tickers.sort()\n",
"\n",
"start = \"2017-02-01\"\n",
"\n",
"# Downloading the data\n",
"data = yf.download(tickers, start=start)\n",
"data = data.loc[:, ('Adj Close', slice(None))]\n",
"data.columns = tickers\n",
"assets = data.pct_change().dropna()\n",
"\n",
"Y = assets\n",
"\n",
"# Creating the Portfolio Object\n",
"port = rp.Portfolio(returns=Y, nea=10)\n",
"\n",
"# To display dataframes values in percentage format\n",
"pd.options.display.float_format = '{:.4%}'.format\n",
"\n",
"# Choose the risk measure\n",
"rm = 'MSV' # Semi Standard Deviation\n",
"\n",
"# Estimate inputs of the model (historical estimates)\n",
"# Method to estimate expected returns based on historical data.\n",
"method_mu = 'hist'\n",
"# Method to estimate covariance matrix based on historical data.\n",
"method_cov = 'hist'\n",
"\n",
"port.assets_stats(method_mu=method_mu, method_cov=method_cov, d=0.94)\n",
"\n",
"# Estimate the portfolio that maximizes the risk adjusted return ratio\n",
"w1 = port.optimization(model='Classic', rm=rm,\n",
" obj='Sharpe', rf=0.0, l=0, hist=True)\n",
"\n",
"# Estimate points in the efficient frontier mean - semi standard deviation\n",
"ws = port.efficient_frontier(\n",
" model='Classic', rm=rm, points=20, rf=0, hist=True)\n",
"\n",
"# Estimate the risk parity portfolio for semi standard deviation\n",
"w2 = port.rp_optimization(model='Classic', rm=rm, rf=0, b=None, hist=True)"
]
},
{
"cell_type": "code",
"execution_count": 4,
"metadata": {},
"outputs": [
{
"data": {
"text/html": [
"\n",
"\n",
"
\n",
" \n",
" \n",
" | \n",
" weights | \n",
"
\n",
" \n",
" \n",
" \n",
" | PETR3.SA | \n",
" 15.4512% | \n",
"
\n",
" \n",
" | CMIG3.SA | \n",
" 13.7378% | \n",
"
\n",
" \n",
" | PETR4.SA | \n",
" 12.3160% | \n",
"
\n",
" \n",
" | CPLE6.SA | \n",
" 11.2214% | \n",
"
\n",
" \n",
" | RANI3.SA | \n",
" 10.5928% | \n",
"
\n",
" \n",
" | UNIP6.SA | \n",
" 7.0562% | \n",
"
\n",
" \n",
" | TAEE11.SA | \n",
" 6.4217% | \n",
"
\n",
" \n",
" | FESA4.SA | \n",
" 5.1461% | \n",
"
\n",
" \n",
" | BBSE3.SA | \n",
" 4.6158% | \n",
"
\n",
" \n",
" | KEPL3.SA | \n",
" 4.2727% | \n",
"
\n",
" \n",
" | CPFE3.SA | \n",
" 3.4921% | \n",
"
\n",
" \n",
" | BEEF3.SA | \n",
" 3.1947% | \n",
"
\n",
" \n",
" | CURY3.SA | \n",
" 1.5344% | \n",
"
\n",
" \n",
" | PSSA3.SA | \n",
" 0.9471% | \n",
"
\n",
" \n",
" | BBAS3.SA | \n",
" 0.0000% | \n",
"
\n",
" \n",
" | CMIG4.SA | \n",
" 0.0000% | \n",
"
\n",
" \n",
" | EGIE3.SA | \n",
" 0.0000% | \n",
"
\n",
" \n",
" | GOAU4.SA | \n",
" 0.0000% | \n",
"
\n",
" \n",
" | TRPL4.SA | \n",
" 0.0000% | \n",
"
\n",
" \n",
" | ALUP11.SA | \n",
" 0.0000% | \n",
"
\n",
" \n",
" | CSMG3.SA | \n",
" 0.0000% | \n",
"
\n",
" \n",
" | ABCB4.SA | \n",
" 0.0000% | \n",
"
\n",
" \n",
" | GGBR4.SA | \n",
" 0.0000% | \n",
"
\n",
" \n",
" | MYPK3.SA | \n",
" 0.0000% | \n",
"
\n",
" \n",
" | VIVT3.SA | \n",
" 0.0000% | \n",
"
\n",
" \n",
" | DIRR3.SA | \n",
" 0.0000% | \n",
"
\n",
" \n",
" | AGRO3.SA | \n",
" 0.0000% | \n",
"
\n",
" \n",
" | BRSR6.SA | \n",
" 0.0000% | \n",
"
\n",
" \n",
" | ITSA4.SA | \n",
" 0.0000% | \n",
"
\n",
" \n",
" | JBSS3.SA | \n",
" 0.0000% | \n",
"
\n",
" \n",
" | LAVV3.SA | \n",
" 0.0000% | \n",
"
\n",
" \n",
" | VALE3.SA | \n",
" 0.0000% | \n",
"
\n",
" \n",
" | ENAT3.SA | \n",
" 0.0000% | \n",
"
\n",
" \n",
" | MRFG3.SA | \n",
" 0.0000% | \n",
"
\n",
" \n",
" | BRAP4.SA | \n",
" 0.0000% | \n",
"
\n",
" \n",
" | RAPT4.SA | \n",
" 0.0000% | \n",
"
\n",
" \n",
" | SANB11.SA | \n",
" 0.0000% | \n",
"
\n",
" \n",
" | VBBR3.SA | \n",
" 0.0000% | \n",
"
\n",
" \n",
" | B3SA3.SA | \n",
" 0.0000% | \n",
"
\n",
" \n",
" | JHSF3.SA | \n",
" 0.0000% | \n",
"
\n",
" \n",
" | TRIS3.SA | \n",
" 0.0000% | \n",
"
\n",
" \n",
" | CMIN3.SA | \n",
" 0.0000% | \n",
"
\n",
" \n",
" | ROMI3.SA | \n",
" 0.0000% | \n",
"
\n",
" \n",
" | USIM5.SA | \n",
" 0.0000% | \n",
"
\n",
" \n",
" | CSNA3.SA | \n",
" 0.0000% | \n",
"
\n",
" \n",
"
\n",
"