Portfolio Optimization
- Our main program is run in main.py. You can simply run it, and all other programs are automatically imported into main.py It will run the in sample test and out of sample tests, and give out the results of these tests.
- HRP.py contains all the code in calculating the HRP methods, including tree clustering, quasidiagonalization and bisection. MVP.py contains all the code in calculating mean variance portfolios, both with and without constraints and including CLA method, simulation method. It also includes a function of plotting the frontier efficient.
- Portfolio_Models.py contains three classes : models, in_test, out_
- HRP.ipynb is a jupyter notebook we used to do test and research on HRP model. It was also used to make plots of tree clustering and several heatmaps.