FinancialPortfolios.jl

A minimalist Julia package for working with simple portfolios of financial assets. Really only provides the barebones.

Example

Example without rebalancing.

using FinancialPortfolios, DataFrames, Dictionaries

stockA = 0.06/12 .+ 0.1/sqrt(12) .* randn(120)
stockB = 0.01/12 .+ 0.02/sqrt(12) .* randn(120)

df = DataFrame(stockA=stockA,stockB=stockB)

FP = FinancialPortfolio(dictionary(["stockA"=>0.8,"stockB"=>0.2]))  # initial portfolio weights
df.portfolioreturns = [update!(FP,r) for r in eachrow(df)]
df
FP

Example with rebalancing every January.

using FinancialPortfolios, DataFrames, Dictionaries


months = repeat(1:12,10)
stockA = 0.06/12 .+ 0.1/sqrt(12) .* randn(120)
stockB = 0.01/12 .+ 0.02/sqrt(12) .* randn(120)

df = DataFrame(month=months,stockA=stockA,stockB=stockB)
FP = FinancialPortfolio(dictionary(["stockA"=>0.8,"stockB"=>0.2]))  # initial portfolio weights

function runportfolio!(FP0,df0)
    T = nrow(df0)
    df0[!,:portfolioreturns] = missings(Float64,T)
    FPreb = copy(FP0)
    
    for row in eachrow(df0)
        if row.month == 1   # rebalances each January
            FP0 = copy(FPreb)
        end
        row.portfolioreturns = update!(FP0,row)
    end
    return FP0
end

runportfolio!(FP,df)