D14 / Territory 14 of 49
Portfolio Construction
Convert forecasts and constraints into holdings.
Published work
Released builds
in this territory.
Every card below is included in the current governed release with its article, sources, Python, TypeScript, and available labs.
Search the released libraryMean-Risk Optimization
5 buildsPortfolio Construction / Mean-Risk Optimization
Markowitz Mean-Variance
Solves for the lowest-variance asset weights that still meet a declared return target, from expected returns and a covariance matrix.Portfolio Construction / Mean-Risk Optimization
Global Minimum Variance
Computes the lowest-variance weights obtainable from a covariance matrix alone, with no expected-return input, and shows why clipping a short weight is not optimization.Portfolio Construction / Mean-Risk Optimization
Maximum Sharpe Ratio
Finds the weights that maximize the Sharpe ratio for a declared risk-free return, with the benchmark, horizon and volatility denominator stated rather than implied.Portfolio Construction / Mean-Risk Optimization
Mean-CVaR Optimization
Optimizes a portfolio against conditional value at risk over a discrete scenario set, including the partial tail mass a discrete distribution creates at the confidence level.Portfolio Construction / Mean-Risk Optimization
Mean-Absolute-Deviation Optimization
Minimizes mean absolute deviation subject to a return target by solving the linear program the absolute value reduces to, over a discrete scenario set.Risk Allocation
5 buildsPortfolio Construction / Risk Allocation
Inverse-Volatility Weighting
Assigns capital in inverse proportion to each asset standalone volatility and normalizes the scores, with a covariance diagnostic showing what the rule leaves out.Portfolio Construction / Risk Allocation
Equal Risk Contribution
Solves for the weights that give every asset the same contribution to portfolio volatility, which equal capital weights do not.Portfolio Construction / Risk Allocation
Risk Budgeting
Solves for weights whose risk contributions match a declared budget per asset, generalizing equal risk contribution to unequal targets.Portfolio Construction / Risk Allocation
Hierarchical Risk Parity
Allocates capital by clustering assets on a correlation-derived profile distance, then splitting capital down the tree by branch variance, without inverting the covariance matrix.Portfolio Construction / Risk Allocation
Hierarchical Equal Risk Contribution
Combines hierarchical clustering with equal risk contribution, and makes the cluster-count stopping decision explicit instead of leaving it implicit.Bayesian and Robust Allocation
5 buildsPortfolio Construction / Bayesian and Robust Allocation
Black-Litterman
Combines market-implied equilibrium returns with stated views and their confidence, producing the posterior expected returns an optimizer then uses.Portfolio Construction / Bayesian and Robust Allocation
Resampled Efficient Frontier
Averages optimizer weights across seeded bootstrap resamples at matching return rank, so the reported allocation reflects estimation noise rather than one sample.Portfolio Construction / Bayesian and Robust Allocation
Robust Mean-Variance
Optimizes against an explicit ellipsoidal uncertainty set around the mean, so the robustness claim names the uncertainty it is built to survive.Portfolio Construction / Bayesian and Robust Allocation
Distributionally Robust Portfolio
Minimizes the worst-case probability of a loss across every distribution sharing a given mean and covariance, subject to a return floor.Portfolio Construction / Bayesian and Robust Allocation
Kelly Allocation
Maximizes expected logarithmic growth over a discrete scenario set, separating the long-run growth criterion from the single-coin-toss intuition.Practical Constraints
5 buildsPortfolio Construction / Practical Constraints
Turnover-Constrained Optimization
A production-minded guide to Turnover-Constrained Optimization.Portfolio Construction / Practical Constraints
Transaction-Cost-Aware Optimization
A production-minded guide to Transaction-Cost-Aware Optimization.Portfolio Construction / Practical Constraints
Cardinality-Constrained Portfolio
A production-minded guide to Cardinality-Constrained Portfolio.Portfolio Construction / Practical Constraints
Long/Short Gross-Net Constraints
Computes long, short, net, and gross exposure from signed weights, checks a net interval and gross cap, and solves the mean-variance problem under both.Portfolio Construction / Practical Constraints
Tax-Aware Portfolio Optimization
Scores which lots a fixed-size sale draws on, and separately solves the exact trade balancing return, tracking risk, cost and a declared illustrative lot score.Territory coverage
What this domain
is mapped to cover.
The published builds above are the released slice of this map. Every subject below belongs to this territory's charter.