# dcajasn/Riskfolio-Lib

Portfolio Optimization in Python

Repository: https://github.com/dcajasn/Riskfolio-Lib
Canonical: https://ross.abutalabs.com/products/riskfolio-lib
Homepage: https://portfoliooptimization.org
Language: C++
License: BSD-3-Clause
License Family: permissive
Topics: portfolio-optimization, convex-optimization, stepwise-regression, duration-matching, drawdown-model, sharpe-ratio, trading, investment, finance, asset-allocation, principal-components-regression, cvar-optimization, cvxpy, risk-parity, risk-contribution, risk-factors, portfolio-management, investment-analysis, quantitative-finance, efficient-frontier
Last push: 2026-08-18T17:08:34+00:00

## Health v2 (maintenance only)
Score: 76/100 (v2, computed 2026-09-03T02:20:16.233290+00:00)
- activity 98, release rhythm 35, longevity 100
- inputs: {"age_days": 2375, "days_push": 15, "days_rel": null, "gap_med": null, "n_releases_24m": 0}
- flags: no_releases
- formula: round(0.45*activity + 0.35*rhythm + 0.20*longevity); archived -> min(score, 10)

## Adoption (not part of the score)
Stars 4459, forks 704 (observed 2026-08-28T04:08:50.682354+00:00)

## What it is
Riskfolio-Lib is a Python library for portfolio optimization built on top of CVXPY and integrated with Pandas. It supports mean-risk and Kelly criterion optimization with dozens of convex, downside, and drawdown risk measures for building investment portfolios.

## Use cases
- optimize an investment portfolio with minimum variance or maximum Sharpe ratio
- compute the efficient frontier for a set of assets
- build a risk parity portfolio with equal risk contributions
- minimize CVaR or drawdown-based risk measures like CDaR and EDaR
- perform Kelly criterion (logarithmic mean risk) portfolio optimization
- match portfolio duration for liability-driven investing
- do asset allocation research for academic or trading purposes

## When to choose
- you need mathematically sophisticated portfolio optimization with many risk measures in Python
- you want a Pandas-friendly API on top of CVXPY for convex optimization
- you are a student, academic, or quant practitioner exploring asset allocation models

## When to avoid
- you need live trading execution or broker connectivity rather than optimization
- you want a point-and-click GUI portfolio tool
- your problem is non-convex or requires heuristics outside CVXPY's scope

## Facets
- artifact type: library
- maturity: active
- function: math, data-science
- domain: fintech, data-science
- platform: python, cross-platform
- tags: portfolio-optimization, convex-optimization, cvxpy, risk-measures, asset-allocation, efficient-frontier, risk-parity, cvar, sharpe-ratio, trading, investment, pandas, optimization, quantitative-finance

## Member repositories
- dcajasn/Riskfolio-Lib (main) score 76

## Provenance
- Observed fields: from GitHub, fetched 2026-08-28T04:08:50.682354+00:00.
- Health v2: computed from the inputs above; adoption is never an input.
- Inferred fields (summary, facets, guidance): AI-extracted, prompt v1, taxonomy v1, on 2026-08-29T18:20:42.876961+00:00, confidence not recorded.
  - readme: https://github.com/dcajasn/Riskfolio-Lib (fetched 2026-08-28T04:08:50.682354+00:00, sha 427a810e9181)
  - homepage: https://portfoliooptimization.org (fetched 2026-08-29T09:07:25.765289+00:00, sha d80b49a34522)
- Data as of 2026-08-30T08:39:29.467469+00:00.