{
"cells": [
{
"cell_type": "markdown",
"metadata": {},
"source": [
"# Riskfolio-Lib Tutorial: \n",
"
__[Financionerioncios](https://financioneroncios.wordpress.com)__\n",
"
__[Orenji](https://www.orenj-i.net)__\n",
"
__[Riskfolio-Lib](https://riskfolio-lib.readthedocs.io/en/latest/)__\n",
"
__[Dany Cajas](https://www.linkedin.com/in/dany-cajas/)__\n",
"
\n",
"\n",
"## Tutorial 42: Higher L-Moments OWA Portfolio 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', 'TGT', 'CMCSA', 'CPB', 'MO', 'APA', 'MMC', 'JPM',\n",
" 'ZION', 'PSA', '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", " | APA | \n", "BA | \n", "BAX | \n", "BMY | \n", "CMCSA | \n", "CNP | \n", "CPB | \n", "DE | \n", "HPQ | \n", "JCI | \n", "... | \n", "NI | \n", "PCAR | \n", "PSA | \n", "SEE | \n", "T | \n", "TGT | \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", "0.0475% | \n", "-0.8599% | \n", "-1.4332% | \n", "-3.0011% | \n", "0.1113% | \n", "1.2968% | \n", "3.4361% | \n", "-0.8763% | \n", "0.2945% | \n", "-0.7834% | \n", "... | \n", "0.6339% | \n", "-0.1823% | \n", "0.9186% | \n", "-0.7728% | \n", "1.1385% | \n", "-1.6075% | \n", "-1.1145% | \n", "-1.2872% | \n", "0.4575% | \n", "-0.8025% | \n", "
| 2018-10-22 | \n", "-1.9240% | \n", "-0.0786% | \n", "-0.6335% | \n", "-6.2983% | \n", "-0.6392% | \n", "-1.1024% | \n", "0.0527% | \n", "-0.3221% | \n", "1.1326% | \n", "-0.8199% | \n", "... | \n", "-0.8661% | \n", "0.4483% | \n", "-1.6953% | \n", "-2.8972% | \n", "-0.6085% | \n", "1.4753% | \n", "-0.6075% | \n", "-0.8634% | \n", "0.1457% | \n", "-3.4490% | \n", "
| 2018-10-23 | \n", "-3.6571% | \n", "-1.6658% | \n", "-0.4202% | \n", "-0.4521% | \n", "-0.2797% | \n", "-0.5034% | \n", "0.1845% | \n", "-3.9948% | \n", "-0.7051% | \n", "-0.2450% | \n", "... | \n", "0.4766% | \n", "-5.1240% | \n", "0.5341% | \n", "-0.0321% | \n", "1.0713% | \n", "-0.6728% | \n", "-1.0807% | \n", "-1.8308% | \n", "4.0560% | \n", "4.0353% | \n", "
| 2018-10-24 | \n", "-4.5500% | \n", "1.3141% | \n", "-1.8041% | \n", "-3.5933% | \n", "-4.2917% | \n", "0.8674% | \n", "0.9995% | \n", "-4.1109% | \n", "-3.6759% | \n", "-3.7139% | \n", "... | \n", "3.5178% | \n", "-4.2683% | \n", "1.5636% | \n", "-1.3479% | \n", "-8.0557% | \n", "-0.4838% | \n", "-1.2403% | \n", "-4.2187% | \n", "0.3671% | \n", "-3.3065% | \n", "
| 2018-10-25 | \n", "0.4741% | \n", "2.5716% | \n", "0.5186% | \n", "0.7782% | \n", "5.0410% | \n", "-0.5733% | \n", "-1.1719% | \n", "2.1585% | \n", "3.1657% | \n", "2.3270% | \n", "... | \n", "-1.0309% | \n", "0.4913% | \n", "0.5082% | \n", "0.9108% | \n", "-1.2516% | \n", "1.8962% | \n", "4.3661% | \n", "1.3799% | \n", "-1.7242% | \n", "3.3538% | \n", "
5 rows × 25 columns
\n", "| \n", " | APA | \n", "BA | \n", "BAX | \n", "BMY | \n", "CMCSA | \n", "CNP | \n", "CPB | \n", "DE | \n", "HPQ | \n", "JCI | \n", "... | \n", "NI | \n", "PCAR | \n", "PSA | \n", "SEE | \n", "T | \n", "TGT | \n", "TMO | \n", "TXT | \n", "VZ | \n", "ZION | \n", "
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| weights | \n", "0.0000% | \n", "3.8355% | \n", "0.0000% | \n", "3.1954% | \n", "4.5640% | \n", "9.3265% | \n", "2.7875% | \n", "0.0000% | \n", "0.0000% | \n", "7.0736% | \n", "... | \n", "13.2513% | \n", "0.0000% | \n", "19.9786% | \n", "3.7171% | \n", "3.3757% | \n", "0.0000% | \n", "0.0000% | \n", "0.0000% | \n", "15.6151% | \n", "0.0000% | \n", "
1 rows × 25 columns
\n", "