Anybody worked with PyMCEF package (Python Monte Carlo Efficient Frontier)?

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Anybody worked with PyMCEF package (Python Monte Carlo Efficient Frontier)?

posted Feb 20, 2017

I stumbled across a Python package called 'Python Monte Carlo Efficient Frontier'. Given a set of assets and their respective returns it returns the weighting of those assets to have the combined portfolio fall on the 'efficient frontier'. Specifically it returns:

The complete efficient frontier stored as a vector of efficient
portfolios, each of which containing the following:
A python dictionary, storing the asset index and weight in the portfolio
In sample performance (Sharpe ratio etc.)
The lower and upper bound for the lagrangian multiplier producing this portfolio
Validation performance, if validation Monte Carlo simulated
returns are provided.

Seams interesting. Here's a link https://pypi.python.org/pypi/pymcef.

Has anybody worked with this? Can this be used in of a Quantopian algorithm or notebook?

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The material on this website is provided for informational purposes only and does not constitute an offer to sell, a solicitation to buy, or a recommendation or endorsement for any security or strategy, nor does it constitute an offer to provide investment advisory services by Quantopian.

In addition, the material offers no opinion with respect to the suitability of any security or specific investment. No information contained herein should be regarded as a suggestion to engage in or refrain from any investment-related course of action as none of Quantopian nor any of its affiliates is undertaking to provide investment advice, act as an adviser to any plan or entity subject to the Employee Retirement Income Security Act of 1974, as amended, individual retirement account or individual retirement annuity, or give advice in a fiduciary capacity with respect to the materials presented herein. If you are an individual retirement or other investor, contact your financial advisor or other fiduciary unrelated to Quantopian about whether any given investment idea, strategy, product or service described herein may be appropriate for your circumstances. All investments involve risk, including loss of principal. Quantopian makes no guarantees as to the accuracy or completeness of the views expressed in the website. The views are subject to change, and may have become unreliable for various reasons, including changes in market conditions or economic circumstances.