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Cvxportfolio 1.5.0 documentation

  • Manual
  • API documentation
  • Examples
  • Contributing to Cvxportfolio
  • Manual
  • API documentation
  • Examples
  • Contributing to Cvxportfolio

Section Navigation

  • Hello World Example
  • Case-Shiller multi-period
  • DOW30 monthly
  • Timing of Back-Test
  • Stock universes
  • Data cleaning
  • Wide asset classes ETFs
  • User-provided forecasters
  • Risk Models Comparison
  • Market-Neutral Portfolio
  • Market-Neutral Portfolio (Without Costs)
  • Legacy examples from the paper
    • Hello World (legacy)
    • Data and risk model estimates
    • Multi-period Optimization Example
    • Portfolio simulation
    • Ranking and SPO
    • Real-time optimization
    • Single-period optimization
    • Single-period optimization with linear transaction cost
    • Solution time
  • Examples
  • Legacy examples from the paper
  • Solution time

Solution time#

This example script is available in the repository. See the docstring below for its explanation.

This is a translation of the original IPython notebook using Cvxportfolio’s stable API.

"""*Work in progress.*"""

import cvxportfolio as cvx

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Single-period optimization with linear transaction cost

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