ToolsOpen sourceBSD-3-Clause
skfolio
Portfolio optimisation built on the scikit-learn API, with proper cross-validation
By skfolio
Live GitHub metrics
Live GitHub data · Oct 11, 2026Stars
2,474
Stars · 7d
+19
Stars · 30d
+111
30d momentum
+4.7%
Forks
270
Open issues
42
Language
Python
Last push
yesterday
Latest release v1.8.1 on Oct 10, 2026. Repository created Dec 14, 2023.
What it is
skfolio brings scikit-learn conventions (estimators, pipelines, model selection) to portfolio construction, which makes it natural to evaluate allocation models out of sample instead of fitting them to one history.
In the maintainers' words: “Python library for portfolio optimization built on top of scikit-learn”
Tags
- Portfolio optimisation
- scikit-learn
- Cross-validation
- #asset-allocation
- #asset-management
- #convex-optimization
- #cvar-optimization
- #cvxpy
- #efficient-frontier
- #hierarchical-clustering
- #machine-learning