Investigate the inclusion of packages from the tschm ecosystem, such as jquantstats, jsharpe, and pyhrp.
@tschm has created an ecosystem of smaller packages with very interesting stuff: https://github.com/tschm?tab=repositories * https://github.com/tschm/jquantstats - basic quant methods * https://github.com/tschm/jsharpe - sharpr ratio and variants * https://github.com/tschm/pyhrp - hierarchical risk parity The main drawbacks of these are, in my opinion: * scattered across multiple repositories with a small scope per package. Hard to find, and would be best in a bundle to avoid the scatterscope problem. * nice & advanced developer workflow that, at the same time, is unfortunately complex and hence hard to adopt by a new contributors. Good for individual senior devs but not for the masses (@tschm will probably disagree with me here but I am pretty certain...) I think it would be nice to think about some integration into `pyportfolioopt` in the mid-term. @tschm has papers about these so just copying code and dropping brands might not be the best option for him credit-wise. Linking is p