{
"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 45: Nested Clustered Optimization (NCO) Portfolio Optimization with Constraints\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": {
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"
\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", " |
2016-01-05 | \n", "-2.0256% | \n", "0.4057% | \n", "0.4036% | \n", "1.9693% | \n", "0.0180% | \n", "0.9305% | \n", "0.3678% | \n", "0.5783% | \n", "0.9483% | \n", "-1.1954% | \n", "... | \n", "1.5881% | \n", "0.0212% | \n", "2.8236% | \n", "0.9758% | \n", "0.6987% | \n", "1.7539% | \n", "-0.1730% | \n", "0.2410% | \n", "1.3735% | \n", "-1.0857% | \n", "
2016-01-06 | \n", "-11.4863% | \n", "-1.5879% | \n", "0.2412% | \n", "-1.7557% | \n", "-0.7727% | \n", "-1.2473% | \n", "-0.1736% | \n", "-1.1239% | \n", "-3.5866% | \n", "-0.9551% | \n", "... | \n", "0.5547% | \n", "0.0212% | \n", "0.1592% | \n", "-1.5646% | \n", "0.3108% | \n", "-1.0155% | \n", "-0.7653% | \n", "-3.0048% | \n", "-0.9035% | \n", "-2.9145% | \n", "
2016-01-07 | \n", "-5.1389% | \n", "-4.1922% | \n", "-1.6573% | \n", "-2.7699% | \n", "-1.1047% | \n", "-1.9769% | \n", "-1.2207% | \n", "-0.8856% | \n", "-4.6059% | \n", "-2.5394% | \n", "... | \n", "-2.2066% | \n", "-3.0310% | \n", "-1.0410% | \n", "-3.1557% | \n", "-1.6148% | \n", "-0.2700% | \n", "-2.2844% | \n", "-2.0570% | \n", "-0.5492% | \n", "-3.0020% | \n", "
2016-01-08 | \n", "0.2736% | \n", "-2.2705% | \n", "-1.6037% | \n", "-2.5425% | \n", "0.1099% | \n", "-0.2241% | \n", "0.5707% | \n", "-1.6402% | \n", "-1.7642% | \n", "-0.1649% | \n", "... | \n", "-0.1539% | \n", "-1.1366% | \n", "-0.7308% | \n", "-0.1448% | \n", "0.0895% | \n", "-3.3839% | \n", "-0.1117% | \n", "-1.1387% | \n", "-0.9720% | \n", "-1.1254% | \n", "
2016-01-11 | \n", "-4.3383% | \n", "0.1693% | \n", "-1.6851% | \n", "-1.0215% | \n", "0.0914% | \n", "-1.1791% | \n", "0.5674% | \n", "0.5287% | \n", "0.6616% | \n", "0.0330% | \n", "... | \n", "1.6436% | \n", "0.0000% | \n", "0.9869% | \n", "-0.1450% | \n", "1.2224% | \n", "1.4570% | \n", "0.5367% | \n", "-0.4607% | \n", "0.5800% | \n", "-1.9919% | \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", "1.1730% | \n", "5.1827% | \n", "2.8237% | \n", "5.0010% | \n", "10.9746% | \n", "3.7074% | \n", "0.7664% | \n", "0.3470% | \n", "2.4532% | \n", "... | \n", "7.0044% | \n", "0.1994% | \n", "12.0258% | \n", "2.2921% | \n", "4.8852% | \n", "3.0259% | \n", "1.1105% | \n", "0.0000% | \n", "8.6247% | \n", "0.0000% | \n", "
1 rows × 25 columns
\n", "\n", " | Disabled | \n", "Type | \n", "Set | \n", "Position | \n", "Sign | \n", "Weight | \n", "
---|---|---|---|---|---|---|
0 | \n", "False | \n", "Assets | \n", "\n", " | HPQ | \n", ">= | \n", "1.0000% | \n", "
1 | \n", "False | \n", "Assets | \n", "\n", " | PSA | \n", "<= | \n", "5.0000% | \n", "
2 | \n", "False | \n", "All Assets | \n", "\n", " | \n", " | <= | \n", "6.0000% | \n", "
3 | \n", "False | \n", "Each asset in a class | \n", "Industry | \n", "Financials | \n", "<= | \n", "4.0000% | \n", "
4 | \n", "False | \n", "Each asset in a class | \n", "Industry | \n", "Information Technology | \n", "<= | \n", "2.0000% | \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", "3.3667% | \n", "6.0000% | \n", "6.0000% | \n", "6.0000% | \n", "6.0000% | \n", "6.0000% | \n", "2.1997% | \n", "1.0000% | \n", "6.0000% | \n", "... | \n", "6.0000% | \n", "0.5722% | \n", "4.0000% | \n", "6.0000% | \n", "6.0000% | \n", "6.0000% | \n", "3.1873% | \n", "0.0000% | \n", "6.0000% | \n", "0.0000% | \n", "
1 rows × 25 columns
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