entroport

portfolio allocation with relative entropy minimization

python implementation of the procedure outlined in A One Factor Benchmark Model for Asset Pricing by Ghosh, Julliard, and Taylor (2015 working paper)

Installation

(Requires Scipy / Numpy / Pandas, tested on OSX with Python 2.7)

$ pip install git+https://github.com/nuffe/entroport.git
# or
$ pip install entroport

Example

Simply instantiate a model object like in this example

>>> from entroport import EntroPort
>>> ep = EntroPort(returns_frame, estlength=650, step=12).fit()