Developer's Note
Dear Reader,
This project evolved from my earlier work, MOP (Multi-Objective Portfolio allocation engine), which was a much simpler version of OPES, consisting of a handful of optimizers, less error handling and robustness. The drive to upgrade the project along with sharing the numerous portfolio optimization frameworks I've learned over the past year is what pushed me forward to make this library. I wish to update this library as I learn more about portfolio theory, being the one thing that interests me about quantitative systems more than anything else.
You’ll find ideas here that are experimental and occasionally unfinished. That’s intentional. OPES is as much a research notebook as it is a library.
Build slow and question everything.
Cheers,