Fortitudo Technologies Open Source

This package allows you to explore open-source implementations of some of our fundamental technologies, e.g., Entropy Pooling and CVaR optimization in Python.

See this YouTube playlist for a walkthrough of the package’s functionality and examples.

For a high-level introduction to the investment framework, see this YouTube video and Substack post.

For a mathematical introduction to the investment framework, see these SSRN articles.

For a pedagogical and deep presentation of the investment framework, you can access the Portfolio Construction and Risk Management Book.

Audience

The package is intended for advanced users who are comfortable specifying portfolio constraints and Entropy Pooling views using matrices and vectors. This gives full flexibility in relation to working with these technologies. Hence, input checking is intentionally kept to a minimum.

Company

Fortitudo Technologies offers novel investment software as well as quantitative and digitalization consultancy to the investment management industry. For more information, please visit our website.

Disclaimer

This package is completely separate from our proprietary solutions and therefore not representative of the quality and functionality offered by the Investment Simulation and Investment Analysis modules. If you are an institutional investor and want to experience how these methods can be used for sophisticated analysis in practice, please request a demo by sending an email to demo@fortitudo.tech.

Code of Conduct

We welcome feedback and bug reports, but we have very limited resources for support and feature requests. If you experience bugs with some of the upstream packages, please report them directly to the maintainers of the upstream packages.