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Empyrial
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Empyrial
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Engine
Empyrial
Rebalancing
Calendar Rebalancing
Custom Rebalancing
Optimization
Global Efficient Frontier
Mean-Variance
Hierarchical Risk Parity
Minimum-Variance
Diversification
Custom allocation
Risk Management
Max Drawdown
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Stop Loss
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Minimum-Variance
A
Minimum Variance
portfolio is a collection of securities that combine to
minimize the price volatility
of the overall portfolio. (Source: the balance)
1
from
empyrial
import
empyrial
,
Engine
2
β
3
portfolio
=
Engine
(
4
start_date
=
"2018-01-01"
,
5
benchmark
=
[
"SPY"
],
#SPY is set by default
6
portfolio
=
[
"BABA"
,
"PDD"
,
"KO"
,
"AMD"
,
"^IXIC"
],
7
optimizer
=
"MINVAR"
8
)
9
β
10
empyrial
(
portfolio
)
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Optimization - Previous
Hierarchical Risk Parity
Next - Optimization
Diversification
Last modified
9mo ago
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