Portfolio Construction
20 algorithms · 4 families · D14
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portfolio-construction/llms.txt lists all
20 algorithms here — signature, shape and verification tier, one line each.
Every reference page below also exists as markdown at <page URL>index.md.
Mean-Risk Optimization#
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Markowitz Mean-Variance
contract
markowitzMeanVariance(assetIdsInput, muInput, covarianceInput, targetReturnInput, options) -
Global Minimum Variance
contract
globalMinimumVariance(assetIdsInput, covarianceInput, options) -
Maximum Sharpe Ratio
contract
maximumSharpe(assetIdsInput, muInput, covarianceInput, riskFreeReturnInput, options) -
Mean-CVaR Optimization
contract
meanCvar(assetIdsInput, returnsInput, probabilitiesInput, betaInput, gammaInput, options) -
Mean-Absolute-Deviation Optimization
contract
meanMad(assetIdsInput, returnsInput, probabilitiesInput, targetReturnInput, options)
Risk Allocation#
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Inverse-Volatility Weighting
contract
inverseVolatilityWeights(assetIds, standaloneVolatilities) -
Equal Risk Contribution
contract
equalRiskContributionWeights(assetIds, covariance) -
Risk Budgeting
contract
riskBudgetingWeights(assetIds, covariance, riskBudgets) -
Hierarchical Risk Parity
contract
hierarchicalRiskParityWeights(assetIds, covariance) -
Hierarchical Equal Risk Contribution
contract
hierarchicalEqualRiskContributionWeights(assetIds, covariance, clusterCount)
Bayesian and Robust Allocation#
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Black-Litterman
contract
blackLittermanAllocate(input) -
Resampled Efficient Frontier
contract
resampledEfficientFrontier(returns, resampleIndices, ranks) -
Robust Mean-Variance
contract
robustMeanVariance(mean, covariance, uncertaintyShape, kappa, riskPenalty, maxIterations, tolerance) -
Distributionally Robust Portfolio
contract
distributionallyRobustPortfolio(mean, covariance, lossThreshold, returnFloor, tolerance, maxIterations) -
Kelly Allocation
contract
kellyAllocation(returns, probabilities, maxIterations, tolerance)
Practical Constraints#
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Turnover-Constrained Optimization
contract
solveTurnoverConstrainedMarkowitz(mu, covariance, lambdaRisk, w0, tau, options) -
Transaction-Cost-Aware Optimization
contract
optimizeTransactionCostAware(mu, covariance, lambdaRisk, x0, buyCost, sellCost, options) -
Cardinality-Constrained Portfolio
contract
optimizeCardinalityConstrained(mu, covariance, lambdaRisk, current, K, options) -
Long/Short Gross-Net Constraints
contract
optimizeGrossNetConstrained(mu, covariance, lambdaRisk, netMin, netMax, grossMax, options) -
Tax-Aware Portfolio Optimization
contract
optimizeTaxAwareTrade(holdingsInit, benchmark, expectedReturn, riskMatrix, prices, lots, tradeDate, options)