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"# Riskfolio-Lib Tutorial: \n",
"
\n",
"
\n",
"
\n",
"
\n",
"
__[Financionerioncios](https://financioneroncios.wordpress.com)__\n",
"
__[Orenji](https://www.linkedin.com/company/orenj-i)__\n",
"
__[Riskfolio-Lib](https://riskfolio-lib.readthedocs.io/en/latest/)__\n",
"
__[Dany Cajas](https://www.linkedin.com/in/dany-cajas/)__\n",
"\n",
"## Tutorial 38: Mean Kurtosis Optimization\n",
"\n",
"## 1. Downloading the data:"
]
},
{
"cell_type": "code",
"execution_count": null,
"metadata": {},
"outputs": [
{
"name": "stderr",
"output_type": "stream",
"text": [
"[*********************100%***********************] 25 of 25 completed\n"
]
}
],
"source": [
"import numpy as np\n",
"import pandas as pd\n",
"import yfinance as yf\n",
"import warnings\n",
"\n",
"warnings.filterwarnings(\"ignore\")\n",
"pd.options.display.float_format = '{:.4%}'.format\n",
"\n",
"# Date range\n",
"start = '2016-01-01'\n",
"end = '2019-12-30'\n",
"\n",
"# Tickers of assets\n",
"assets = ['JCI', 'AMZN', 'CMCSA', 'CPB', 'MO', 'APA', 'MMC', 'JPM',\n",
" 'ZION', 'AAPL', 'BAX', 'BMY', 'LUV', 'PCAR', 'TXT', 'TMO',\n",
" 'DE', 'MSFT', 'HPQ', 'SEE', 'VZ', 'CNP', 'NI', 'T', 'BA']\n",
"assets.sort()\n",
"\n",
"# Downloading data\n",
"data = yf.download(assets, start = start, end = end, auto_adjust=False)\n",
"data = data.loc[:,('Adj Close', slice(None))]\n",
"data.columns = assets"
]
},
{
"cell_type": "code",
"execution_count": 2,
"metadata": {},
"outputs": [
{
"data": {
"text/html": [
"
| \n", " | AAPL | \n", "AMZN | \n", "APA | \n", "BA | \n", "BAX | \n", "BMY | \n", "CMCSA | \n", "CNP | \n", "CPB | \n", "DE | \n", "... | \n", "MO | \n", "MSFT | \n", "NI | \n", "PCAR | \n", "SEE | \n", "T | \n", "TMO | \n", "TXT | \n", "VZ | \n", "ZION | \n", "
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| Date | \n", "\n", " | \n", " | \n", " | \n", " | \n", " | \n", " | \n", " | \n", " | \n", " | \n", " | \n", " | \n", " | \n", " | \n", " | \n", " | \n", " | \n", " | \n", " | \n", " | \n", " | \n", " |
| 2018-10-19 00:00:00+00:00 | \n", "1.5230% | \n", "-0.3778% | \n", "0.0475% | \n", "-0.8599% | \n", "-1.4333% | \n", "-3.0011% | \n", "0.1113% | \n", "1.2968% | \n", "3.4360% | \n", "-0.8764% | \n", "... | \n", "1.6741% | \n", "0.1475% | \n", "0.6339% | \n", "-0.1823% | \n", "-0.7728% | \n", "1.1384% | \n", "-1.1145% | \n", "-1.2872% | \n", "0.4574% | \n", "-0.8025% | \n", "
| 2018-10-22 00:00:00+00:00 | \n", "0.6110% | \n", "1.4325% | \n", "-1.9240% | \n", "-0.0786% | \n", "-0.6334% | \n", "-6.2983% | \n", "-0.6392% | \n", "-1.1025% | \n", "0.0528% | \n", "-0.3221% | \n", "... | \n", "-1.0331% | \n", "0.8927% | \n", "-0.8661% | \n", "0.4483% | \n", "-2.8972% | \n", "-0.6084% | \n", "-0.6075% | \n", "-0.8635% | \n", "0.1457% | \n", "-3.4490% | \n", "
| 2018-10-23 00:00:00+00:00 | \n", "0.9427% | \n", "-1.1513% | \n", "-3.6571% | \n", "-1.6658% | \n", "-0.4202% | \n", "-0.4521% | \n", "-0.2797% | \n", "-0.5034% | \n", "0.1844% | \n", "-3.9948% | \n", "... | \n", "0.8808% | \n", "-1.3956% | \n", "0.4766% | \n", "-5.1240% | \n", "-0.0321% | \n", "1.0713% | \n", "-1.0807% | \n", "-1.8308% | \n", "4.0560% | \n", "4.0353% | \n", "
| 2018-10-24 00:00:00+00:00 | \n", "-3.4302% | \n", "-5.9083% | \n", "-4.5501% | \n", "1.3141% | \n", "-1.8042% | \n", "-3.5933% | \n", "-4.2917% | \n", "0.8674% | \n", "0.9995% | \n", "-4.1108% | \n", "... | \n", "0.7437% | \n", "-5.3469% | \n", "3.5178% | \n", "-4.2683% | \n", "-1.3479% | \n", "-8.0558% | \n", "-1.2403% | \n", "-4.2187% | \n", "0.3671% | \n", "-3.3065% | \n", "
| 2018-10-25 00:00:00+00:00 | \n", "2.1898% | \n", "7.0887% | \n", "0.4741% | \n", "2.5716% | \n", "0.5186% | \n", "0.7782% | \n", "5.0410% | \n", "-0.5733% | \n", "-1.1718% | \n", "2.1585% | \n", "... | \n", "1.3642% | \n", "5.8444% | \n", "-1.0310% | \n", "0.4914% | \n", "0.9109% | \n", "-1.2516% | \n", "4.3662% | \n", "1.3800% | \n", "-1.7241% | \n", "3.3538% | \n", "
5 rows × 25 columns
\n", "| \n", " | AAPL | \n", "AMZN | \n", "APA | \n", "BA | \n", "BAX | \n", "BMY | \n", "CMCSA | \n", "CNP | \n", "CPB | \n", "DE | \n", "... | \n", "MO | \n", "MSFT | \n", "NI | \n", "PCAR | \n", "SEE | \n", "T | \n", "TMO | \n", "TXT | \n", "VZ | \n", "ZION | \n", "
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| weights | \n", "0.0000% | \n", "0.0000% | \n", "0.0000% | \n", "0.0000% | \n", "0.0000% | \n", "4.7028% | \n", "0.0000% | \n", "0.0000% | \n", "11.1102% | \n", "0.0000% | \n", "... | \n", "0.0000% | \n", "0.0000% | \n", "2.9795% | \n", "5.4946% | \n", "8.0196% | \n", "4.8792% | \n", "1.2582% | \n", "0.0000% | \n", "23.3527% | \n", "0.0000% | \n", "
1 rows × 25 columns
\n", "| \n", " | AAPL | \n", "AMZN | \n", "APA | \n", "BA | \n", "BAX | \n", "BMY | \n", "CMCSA | \n", "CNP | \n", "CPB | \n", "DE | \n", "... | \n", "MO | \n", "MSFT | \n", "NI | \n", "PCAR | \n", "SEE | \n", "T | \n", "TMO | \n", "TXT | \n", "VZ | \n", "ZION | \n", "
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| 0 | \n", "0.0000% | \n", "0.0000% | \n", "0.0000% | \n", "0.0000% | \n", "0.6894% | \n", "6.6516% | \n", "4.7593% | \n", "17.4514% | \n", "0.0000% | \n", "0.0000% | \n", "... | \n", "11.7019% | \n", "0.0000% | \n", "10.5489% | \n", "0.0000% | \n", "8.5918% | \n", "0.5055% | \n", "0.0000% | \n", "0.0000% | \n", "26.1992% | \n", "3.3163% | \n", "
| 1 | \n", "0.0000% | \n", "0.0000% | \n", "0.0000% | \n", "0.0000% | \n", "0.0000% | \n", "6.6966% | \n", "1.6972% | \n", "6.4671% | \n", "3.6874% | \n", "0.0000% | \n", "... | \n", "0.9022% | \n", "0.0000% | \n", "10.1653% | \n", "0.0000% | \n", "10.1175% | \n", "4.9220% | \n", "0.0000% | \n", "0.0000% | \n", "27.3730% | \n", "0.0000% | \n", "
| 2 | \n", "0.0000% | \n", "0.0000% | \n", "0.0000% | \n", "0.0000% | \n", "0.0000% | \n", "6.1761% | \n", "0.0000% | \n", "0.0000% | \n", "7.7140% | \n", "0.0000% | \n", "... | \n", "0.0000% | \n", "0.0000% | \n", "8.0389% | \n", "1.2117% | \n", "9.4790% | \n", "5.8509% | \n", "0.0000% | \n", "0.0000% | \n", "26.0669% | \n", "0.0000% | \n", "
| 3 | \n", "0.0000% | \n", "0.0000% | \n", "0.0000% | \n", "0.0000% | \n", "0.0000% | \n", "4.9226% | \n", "0.0000% | \n", "0.0000% | \n", "10.8113% | \n", "0.0000% | \n", "... | \n", "0.0000% | \n", "0.0000% | \n", "3.4604% | \n", "5.0189% | \n", "8.1531% | \n", "4.9600% | \n", "0.8984% | \n", "0.0000% | \n", "23.6468% | \n", "0.0000% | \n", "
| 4 | \n", "0.0000% | \n", "0.0000% | \n", "0.0000% | \n", "0.0000% | \n", "0.0000% | \n", "3.4452% | \n", "0.0000% | \n", "0.0000% | \n", "12.6920% | \n", "0.0000% | \n", "... | \n", "0.0000% | \n", "0.0000% | \n", "0.5352% | \n", "8.2394% | \n", "7.3098% | \n", "4.4609% | \n", "3.2102% | \n", "0.0000% | \n", "21.7050% | \n", "0.0000% | \n", "
5 rows × 25 columns
\n", "| \n", " | AAPL | \n", "AMZN | \n", "APA | \n", "BA | \n", "BAX | \n", "BMY | \n", "CMCSA | \n", "CNP | \n", "CPB | \n", "DE | \n", "... | \n", "MO | \n", "MSFT | \n", "NI | \n", "PCAR | \n", "SEE | \n", "T | \n", "TMO | \n", "TXT | \n", "VZ | \n", "ZION | \n", "
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| weights | \n", "2.4551% | \n", "2.3390% | \n", "2.3561% | \n", "2.9710% | \n", "3.8989% | \n", "4.2350% | \n", "4.0183% | \n", "6.7929% | \n", "5.1240% | \n", "2.6398% | \n", "... | \n", "5.7290% | \n", "2.7138% | \n", "7.0910% | \n", "3.2300% | \n", "4.6015% | \n", "4.4500% | \n", "3.2760% | \n", "3.3235% | \n", "7.4288% | \n", "3.4346% | \n", "
1 rows × 25 columns
\n", "