Cutup: A Rust Portfolio Allocation Library

Cutup is a Rust library for portfolio allocation strategies, providing implementations for:

• Mean-Variance Optimization (MVO)
• Equal Weight Allocation (EW)
• Hierarchical Risk Parity (HRP)

This library leverages nalgebra for efficient matrix operations and is designed for performance and extensibility.

Features

• MVO Allocation: Computes portfolio weights using mean-variance optimization with covariance matrix regularization.
• EW Allocation: Assigns equal weights to all assets.
• HRP Allocation: Uses hierarchical clustering and recursive bisection for risk-based allocation.
• Fully Unit-Tested: Includes test cases for correctness verification.

Installation

Add cutup to your Cargo.toml:

[dependencies]
cutup = "0.1.0"

Usage

use nalgebra::DMatrix;
use cutup::PortfolioAllocator;

fn main() {
    let prices = DMatrix::from_row_slice(3, 3, &[
        100.0, 200.0, 300.0,
        110.0, 210.0, 310.0,
        120.0, 220.0, 320.0,
    ]);

    let allocator = PortfolioAllocator::new(prices);
    
    let mvo_weights = allocator.mvo_allocation();
    let ew_weights = allocator.ew_allocation();
    let hrp_weights = allocator.hrp_allocation();
    
    println!("MVO Weights: {:?}", mvo_weights);
    println!("EW Weights: {:?}", ew_weights);
    println!("HRP Weights: {:?}", hrp_weights);
}

License

This project is licensed under the MIT License.