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portfolio-construction

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Build implementable portfolios.

Finance & Accounting#optimization#risk management#liquidity#transaction costs#portfolio construction#mandate compliance
AuthorGhostOf0days
Version1.0.0
Installs0

System Documentation

What problem does it solve?

This Skill addresses the challenge of creating practical investment portfolios that align with complex real-world constraints, moving beyond theoretical optimization to deliver tradeable allocations.

Core Features & Use Cases

  • Constraint-Aware Optimization: Optimizes portfolio weights while respecting turnover, liquidity, and mandate limitations.
  • Pre-Trade Analysis: Includes adjustments for transaction costs and market impact.
  • Robust Validation: Features diagnostics for risk, turnover, liquidity, and rebalance stability.
  • Use Case: When tasked with rebalancing an existing portfolio to incorporate new alpha signals while minimizing trading costs and adhering to specific investor mandates, this Skill provides the framework for a compliant and efficient execution.

Quick Start

Run the portfolio construction diagnostics script with the input file 'input.csv' and save the output to 'diagnostics.json'.

Dependency Matrix

Required Modules

None required

Components

scriptsreferences

💻 Claude Code Installation

Recommended: Let Claude install automatically. Simply copy and paste the text below to Claude Code.

Please help me install this Skill:
Name: portfolio-construction
Download link: https://github.com/GhostOf0days/codex-quant-skills/archive/main.zip#portfolio-construction

Please download this .zip file, extract it, and install it in the .claude/skills/ directory.
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