{
"cells": [
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"attachments": {},
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"source": [
"# Riskfolio-Lib Tutorial: \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",
"\n",
"## Tutorial 39: Mean Semi Kurtosis Optimization\n",
"\n",
"## 1. Downloading the data:"
]
},
{
"cell_type": "code",
"execution_count": 1,
"metadata": {},
"outputs": [
{
"name": "stdout",
"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)\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 | \n", "1.5230% | \n", "-0.3778% | \n", "0.0475% | \n", "-0.8599% | \n", "-1.4332% | \n", "-3.0011% | \n", "0.1113% | \n", "1.2968% | \n", "3.4360% | \n", "-0.8763% | \n", "... | \n", "1.6740% | \n", "0.1475% | \n", "0.6339% | \n", "-0.1823% | \n", "-0.7728% | \n", "1.1385% | \n", "-1.1145% | \n", "-1.2872% | \n", "0.4575% | \n", "-0.8025% | \n", "
| 2018-10-22 | \n", "0.6110% | \n", "1.4325% | \n", "-1.9240% | \n", "-0.0786% | \n", "-0.6335% | \n", "-6.2983% | \n", "-0.6393% | \n", "-1.1024% | \n", "0.0527% | \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", "-0.8634% | \n", "0.1457% | \n", "-3.4490% | \n", "
| 2018-10-23 | \n", "0.9427% | \n", "-1.1513% | \n", "-3.6571% | \n", "-1.6658% | \n", "-0.4202% | \n", "-0.4520% | \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 | \n", "-3.4302% | \n", "-5.9083% | \n", "-4.5500% | \n", "1.3141% | \n", "-1.8042% | \n", "-3.5933% | \n", "-4.2917% | \n", "0.8674% | \n", "0.9995% | \n", "-4.1109% | \n", "... | \n", "0.7437% | \n", "-5.3469% | \n", "3.5178% | \n", "-4.2683% | \n", "-1.3479% | \n", "-8.0557% | \n", "-1.2403% | \n", "-4.2187% | \n", "0.3671% | \n", "-3.3065% | \n", "
| 2018-10-25 | \n", "2.1898% | \n", "7.0887% | \n", "0.4741% | \n", "2.5716% | \n", "0.5186% | \n", "0.7782% | \n", "5.0411% | \n", "-0.5732% | \n", "-1.1719% | \n", "2.1585% | \n", "... | \n", "1.3642% | \n", "5.8444% | \n", "-1.0309% | \n", "0.4914% | \n", "0.9109% | \n", "-1.2516% | \n", "4.3662% | \n", "1.3799% | \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", "2.2933% | \n", "1.5069% | \n", "0.0000% | \n", "10.1992% | \n", "0.0000% | \n", "... | \n", "0.0000% | \n", "0.0000% | \n", "0.0000% | \n", "4.7230% | \n", "5.3222% | \n", "0.0000% | \n", "5.1388% | \n", "0.0000% | \n", "27.6922% | \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", "1.4624% | \n", "6.3368% | \n", "12.0102% | \n", "16.6038% | \n", "0.0000% | \n", "0.0000% | \n", "... | \n", "10.2422% | \n", "0.0000% | \n", "5.6465% | \n", "0.0000% | \n", "8.8630% | \n", "0.0000% | \n", "0.0000% | \n", "0.0000% | \n", "28.2496% | \n", "0.0000% | \n", "
| 1 | \n", "0.0000% | \n", "0.0000% | \n", "0.0000% | \n", "0.0000% | \n", "1.0674% | \n", "5.9072% | \n", "11.2322% | \n", "11.7571% | \n", "0.0000% | \n", "0.0000% | \n", "... | \n", "5.6054% | \n", "0.0000% | \n", "5.9885% | \n", "0.0000% | \n", "9.2228% | \n", "0.0000% | \n", "0.0000% | \n", "0.0000% | \n", "30.2239% | \n", "0.0000% | \n", "
| 2 | \n", "0.0000% | \n", "0.0000% | \n", "0.0000% | \n", "0.0000% | \n", "0.5698% | \n", "5.4444% | \n", "8.8890% | \n", "4.5476% | \n", "0.0802% | \n", "0.0000% | \n", "... | \n", "0.0000% | \n", "0.0000% | \n", "7.4434% | \n", "0.0000% | \n", "9.7238% | \n", "0.0000% | \n", "0.0000% | \n", "0.0000% | \n", "33.1218% | \n", "0.0000% | \n", "
| 3 | \n", "0.0000% | \n", "0.0000% | \n", "0.0000% | \n", "0.0000% | \n", "0.1879% | \n", "5.4249% | \n", "6.5311% | \n", "0.0001% | \n", "4.9114% | \n", "0.0000% | \n", "... | \n", "0.0000% | \n", "0.0000% | \n", "4.7880% | \n", "0.0000% | \n", "8.6779% | \n", "0.0000% | \n", "0.0005% | \n", "0.0000% | \n", "33.0473% | \n", "0.0000% | \n", "
| 4 | \n", "0.0000% | \n", "0.0000% | \n", "0.0000% | \n", "0.0000% | \n", "0.0001% | \n", "4.4636% | \n", "4.2342% | \n", "0.0000% | \n", "8.1199% | \n", "0.0000% | \n", "... | \n", "0.0000% | \n", "0.0000% | \n", "0.0001% | \n", "0.0000% | \n", "6.8826% | \n", "0.0000% | \n", "2.0224% | \n", "0.0000% | \n", "32.0412% | \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", "2.5334% | \n", "2.6996% | \n", "2.4343% | \n", "3.6101% | \n", "4.2748% | \n", "4.0051% | \n", "4.0332% | \n", "6.4981% | \n", "4.6227% | \n", "2.5405% | \n", "... | \n", "5.6576% | \n", "2.9168% | \n", "5.8968% | \n", "3.4460% | \n", "4.6167% | \n", "3.9412% | \n", "3.5702% | \n", "3.2022% | \n", "7.6373% | \n", "3.4864% | \n", "
1 rows × 25 columns
\n", "