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skfolio: Portfolio Optimization in Python

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  • Carlo Nicolini
  • Matteo Manzi
  • Hugo Delatte

Abstract

Portfolio optimization is a fundamental challenge in quantitative finance, requiring robust computational tools that integrate statistical rigor with practical implementation. We present skfolio, an open-source Python library for portfolio construction and risk management that seamlessly integrates with the scikit-learn ecosystem. skfolio provides a unified framework for diverse allocation strategies, from classical mean-variance optimization to modern clustering-based methods, state-of-the-art financial estimators with native interfaces, and advanced cross-validation techniques tailored for financial time series. By adhering to scikit-learn's fit-predict-transform paradigm, the library enables researchers and practitioners to leverage machine learning workflows for portfolio optimization, promoting reproducibility and transparency in quantitative finance.

Suggested Citation

  • Carlo Nicolini & Matteo Manzi & Hugo Delatte, 2025. "skfolio: Portfolio Optimization in Python," Papers 2507.04176, arXiv.org, revised Jul 2025.
  • Handle: RePEc:arx:papers:2507.04176
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    File URL: http://arxiv.org/pdf/2507.04176
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