skfolio: Portfolio Optimization in Python

• URL: http://arxiv.org/abs/2507.04176v2
• Date: Tue, 08 Jul 2025 13:15:03 GMT
• Title: skfolio: Portfolio Optimization in Python
• Authors: Carlo Nicolini, Matteo Manzi, Hugo Delatte,
• Abstract summary: skfolio is an open-source Python library for portfolio construction and risk management.<n>By adhering to scikit-learn's fit-predict-transform paradigm, the library enables researchers and practitioners to leverage machine learning for portfolio optimization.
• Score: 0.0
• License: http://creativecommons.org/licenses/by/4.0/
• 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.

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