ToolsOpen sourceBSD-3-Clause
Riskfolio-Lib
Portfolio optimisation library with a very wide set of risk measures
By Dany Cajas
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Live GitHub data · Oct 11, 2026Stars
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+54
30d momentum
+1.2%
Forks
718
Open issues
11
Language
C++
Last push
7 days ago
No tagged releases. Repository created Mar 2, 2020.
What it is
Riskfolio-Lib covers mean-risk, risk-parity, hierarchical and worst-case optimisation across dozens of risk measures, with reporting built in. It suits research that goes beyond variance as the risk definition.
In the maintainers' words: “Portfolio Optimization in Python”
Tags
- Portfolio optimisation
- Risk measures
- Python
- #asset-allocation
- #convex-optimization
- #cvar-optimization
- #cvxpy
- #drawdown-model
- #duration-matching
- #efficient-frontier
- #finance