We present a few example applications built with CVXPortfolio. Some of these have been developed for our paper (number 2 to 6).

  1. HelloWorld: basic usage of the simulation and (single period) optimization objects.
  2. DataEstimatesRiskModel: download and clean the data used for the examples in our paper. (Its output files are available in the data folder of the repo.)
  3. PortfolioSimulation: simple simulation of a portfolio rebalanced periodically to a target benchmark.
  4. SinglePeriodOptimization: example of the single period optimization framework, with search of optimal hyper-parameters.
  5. MultiPeriodOptimization: same for the multi period optimization framework.
  6. SolutionTime: analysis of execution time of the simulation and optimization code.
  7. RealTimeOptimization: get a vector of trades to execute in real time (exports to Excel format).