Financial Portfolio Optimization with amplpy

This package replicates some financial portfolio optimization models from pypfopt using amplpy and provides a similar interface. The main purpose of this project is to illustrate how to use amplpy with financial models and how to deploy containerized applications using it.

Notebooks

Financial Portfolio Optimization with amplpy and amplpyfinance:

Links

• GitHub Repository: https://github.com/ampl/amplpyfinance

• PyPI Repository: https://pypi.python.org/pypi/amplpyfinance

Classes

• EfficientFrontier
• DiscreteAllocation
• Deployment
  • Docker Compose
  • Submit jobs to the containerized application
  • Deploying on AWS using Docker Compose
  • Deploying on Azure using Docker Compose

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EfficientFrontier