Portfolio Optimization Toolkit

Python toolkit for portfolio optimization, risk analysis, and backtesting.
Combine modern portfolio theory, factor adjustments, and advanced risk metrics with visualizations and simulations.

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Features

• Fetch historical market data (yfinance)
• Factor adjustments: momentum, volatility, Fama–French
• Portfolio optimization: Max Sharpe, Min Risk, Target Return
• Efficient Frontier visualization & random portfolio generation
• Backtesting vs benchmark (e.g., S&P 500)
• Rebalancing simulation with transaction costs
• Risk metrics: VaR, CVaR, rolling Sharpe, Max Drawdown

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Quickstart

git clone https://github.com/yourusername/PortfolioOptimizationToolkit.git

cd PortfolioOptimizationToolkit

python -m venv venv

pip install -r requirements.txt

python main.py