Python libraries for convex optimisation and portfolio optimisation

November 3, 2024

Convex optimisation:

• https://github.com/cvxpy/cvxpy (this is used by all portfolio optimisation libraries below)
• https://github.com/cvxopt/cvxopt

Portfolio optimisation:

• https://github.com/robertmartin8/PyPortfolioOpt
• https://github.com/skfolio/skfolio
• https://github.com/dcajasn/Riskfolio-Lib