{
"cells": [
{
"cell_type": "markdown",
"metadata": {},
"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 40: Mean Relativistic Value at Risk (RLVaR) 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", "3.4361% | \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", "-0.6334% | \n", "-6.2983% | \n", "-0.6392% | \n", "-1.1024% | \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", "-0.8634% | \n", "0.1457% | \n", "-3.4490% | \n", "
2018-10-23 | \n", "0.9427% | \n", "-1.1513% | \n", "-3.6570% | \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", "-5.1239% | \n", "-0.0321% | \n", "1.0713% | \n", "-1.0807% | \n", "-1.8308% | \n", "4.0560% | \n", "4.0353% | \n", "
2018-10-24 | \n", "-3.4301% | \n", "-5.9083% | \n", "-4.5501% | \n", "1.3141% | \n", "-1.8041% | \n", "-3.5933% | \n", "-4.2917% | \n", "0.8674% | \n", "0.9994% | \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", "5.0410% | \n", "-0.5733% | \n", "-1.1718% | \n", "2.1585% | \n", "... | \n", "1.3641% | \n", "5.8444% | \n", "-1.0309% | \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", "0.0000% | \n", "0.0000% | \n", "0.0000% | \n", "7.9135% | \n", "0.0000% | \n", "... | \n", "0.0000% | \n", "0.0000% | \n", "0.0000% | \n", "0.0000% | \n", "6.5204% | \n", "0.0000% | \n", "15.5150% | \n", "0.0000% | \n", "0.0000% | \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", "0.0000% | \n", "10.6568% | \n", "4.7594% | \n", "0.0000% | \n", "0.0000% | \n", "0.0000% | \n", "... | \n", "23.5629% | \n", "0.0000% | \n", "2.0761% | \n", "0.0000% | \n", "17.4821% | \n", "0.0000% | \n", "0.0000% | \n", "0.0000% | \n", "29.5792% | \n", "5.5921% | \n", "
1 | \n", "0.0000% | \n", "0.0000% | \n", "0.0000% | \n", "0.0000% | \n", "0.0000% | \n", "12.5234% | \n", "18.4972% | \n", "0.0000% | \n", "0.0000% | \n", "0.0000% | \n", "... | \n", "16.0178% | \n", "0.0000% | \n", "0.0000% | \n", "0.0000% | \n", "12.8789% | \n", "0.0000% | \n", "0.0000% | \n", "0.0000% | \n", "27.7307% | \n", "0.2894% | \n", "
2 | \n", "0.0000% | \n", "0.0000% | \n", "0.0000% | \n", "0.0000% | \n", "0.0000% | \n", "11.5903% | \n", "17.3380% | \n", "0.0000% | \n", "0.0000% | \n", "0.0000% | \n", "... | \n", "11.2680% | \n", "0.0000% | \n", "0.0000% | \n", "0.0000% | \n", "10.6772% | \n", "0.0000% | \n", "0.0000% | \n", "0.0000% | \n", "25.7019% | \n", "0.0000% | \n", "
3 | \n", "0.0000% | \n", "0.0000% | \n", "0.0000% | \n", "0.0000% | \n", "0.0000% | \n", "10.6053% | \n", "14.3683% | \n", "0.0000% | \n", "0.0000% | \n", "0.0000% | \n", "... | \n", "6.8918% | \n", "0.0000% | \n", "0.0000% | \n", "0.0000% | \n", "12.2660% | \n", "0.0000% | \n", "0.0000% | \n", "0.0000% | \n", "25.7177% | \n", "0.0000% | \n", "
4 | \n", "0.0000% | \n", "0.0000% | \n", "0.0000% | \n", "0.0000% | \n", "0.0000% | \n", "9.7406% | \n", "11.2255% | \n", "0.0000% | \n", "0.0000% | \n", "0.0000% | \n", "... | \n", "2.9212% | \n", "0.0000% | \n", "0.0000% | \n", "0.0000% | \n", "14.0441% | \n", "0.0000% | \n", "0.0000% | \n", "0.0000% | \n", "26.1732% | \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", "2.9693% | \n", "2.9937% | \n", "2.5752% | \n", "3.2822% | \n", "4.3364% | \n", "5.1403% | \n", "4.2069% | \n", "4.7291% | \n", "3.5354% | \n", "2.3535% | \n", "... | \n", "5.9295% | \n", "3.1232% | \n", "4.7398% | \n", "3.8010% | \n", "4.5658% | \n", "3.9265% | \n", "3.7370% | \n", "3.5493% | \n", "7.1582% | \n", "3.6839% | \n", "
1 rows × 25 columns
\n", "