Add portfolio analysis script and update dependencies

- Created a new Python script for portfolio analysis using historical stock data.
- Implemented functions for normality testing of prices and returns.
- Added histogram plots for prices and returns.
- Included logic for random portfolio allocation and efficient frontier calculation.
- Updated `pyproject.toml` to include `pandas-stubs` for type hinting support.
- Modified `uv.lock` to reflect the addition of `pandas-stubs` and its dependencies.

M2/Risks Management/TP1/portef_v3_4_2_incomplete_py.py

@@ -0,0 +1,144 @@
+"""
+Created on Thu Oct  3 15:57:44 2024
+
+@author: turinici
+"""
+
+
+"""
+This program uses historical data in the format in :
+    https://turinici.com/wp-content/uploads/cours/common/close_cac40_historical.csv
+
+It can also be downloaded form yahoo finance in daily
+prices (at least the "close") if possible at lest 5 years
+
+Idea: use yahoo e.g., yfinance package
+"pip install yfinance"
+
+
+Then the code does :
+
+1'/ order by increasing date
+
+2/ plot price histogram and returns  (with "log" and/or "actuarial")
+
+3/ test normality of : prices, log returns, actuarial returns
+    for instance can use scipy.stats.normaltest
+
+4/ shows the random versus optimal results
+
+TODO : replace "None" by what is required to implement the task.
+
+"""
+import matplotlib.pyplot as plt
+import numpy as np
+import pandas as pd
+from scipy.stats import kstest, normaltest  # type: ignore
+
+#from scipy.special import softmax
+
+# take csv from www course :we suppose it is available locally))
+data = pd.read_csv('M2/Risks Management/TP1/close_cac40_historical.csv', sep=';', index_col = 'Date')
+data.head()
+# order by increasing date, keep variable 'data'
+data = data.sort_index(ascending=True)
+data.head()
+data.tail()
+
+# plot histogram of prices
+_ = data.hist(bins=30, figsize = (15,15))
+
+def normality_test(data,kolmogorov_smirnov=False,level=0.01,print_results=True):
+    """
+    Tests normality of each column of dataframe "data".
+    Inputs:
+        kolmogorov_smirnov= false: use "normaltest", otherswise use kstest, both from scipy.stats
+        level = p-value threshold level for the conclusions
+
+    Outputs:  the number of yes/no in the results
+    """
+
+    pvalues = []
+    for cols in data.keys():
+        pv = kstest(data[cols].dropna(), 'norm', args=(data[cols].mean(), data[cols].std())).pvalue if kolmogorov_smirnov else normaltest(data[cols].dropna()).pvalue
+        pvalues.append(pv)
+        res = 'normal' if pv >= level else 'not normal'
+        print("Test pval=", pv, 'res=', res)
+    normalok = sum([1 for pv in pvalues if pv >= level])
+    normalnotok = sum([1 for pv in pvalues if pv < level])
+    if (print_results):
+        print("no. of normal = ", normalok)
+        print("no. of not normal = ", normalnotok)
+    return normalok, normalnotok
+
+normality_test(data)
+
+# use 'data' to compute returns
+# returns = data.pct_change() #actuarial
+returns = np.log(data/data.shift(1))
+
+_ = returns.hist(bins = int(np.sqrt(returns.shape[0])), figsize = (15,15)) # type: ignore
+
+normality_test(returns.tail(25*3)) # type: ignore # test last 3 months
+
+###########################################################
+print('normality tests for increments, not returns!!')
+increments = data - data.shift(1)
+_ = increments.hist(bins=int(np.sqrt(increments.shape[0])), figsize = (15,15))
+
+normality_test(increments.tail(25*3))
+########################################################################
+
+
+
+#%%
+nb = 10  #will work with nb stocks
+all_returns = returns.copy() #backup
+nb_all = all_returns.shape[1]
+if (nb > nb_all):
+    print("too many number of stocks, revert to max")
+    nb = nb_all
+#choose the stock names
+nb_stocks_names = np.random.choice(all_returns.keys(), nb, replace=False) # type: ignore
+returns_small = all_returns.loc[:, nb_stocks_names] # type: ignore
+
+#%%
+#compute avg and cov of returns
+mean_returns = returns_small.mean()
+cov_matrix = returns_small.cov()
+rdt_list = []
+std_list = []
+for _ in range(500):
+    #sample at random some "allocation"
+    allocation = np.random.random(nb)
+    rdt_port = allocation@mean_returns
+    std_port = np.sqrt(allocation@cov_matrix@allocation)
+    rdt_list.append(rdt_port)
+    std_list.append(std_port)
+
+
+inverse_cov = np.linalg.inv(cov_matrix)
+# compute and draw the efficient frontier on the same graph
+onesM = np.ones_like(mean_returns)
+#compute 'a' and 'b' using formulas from the course
+a = onesM.T @ inverse_cov @ onesM
+b = onesM.T @ inverse_cov @ mean_returns
+
+# plot the frontier and its symmetric w/r to origin
+sigmarange = np.linspace(1. / np.sqrt(a) + 1.e-10, 1.1 * np.max(std_list), 47)
+# compute the return of the optimal portfolio for sigma in sigmarange
+# will use the "factor" auxiliary variable
+factor = np.sqrt(sigmarange**2 - 1. / a)
+optimal_return = b / a + np.sqrt(sigmarange**2 - 1. / a) * factor
+
+fig = plt.figure('perf')
+plt.scatter(std_list, rdt_list)
+plt.plot(sigmarange, optimal_return, 'r-')
+plt.xlabel('std')
+plt.ylabel('rdt')
+#plt.xlim([0,.2])
+#plt.ylim([-.05,.05])
+plt.show()
+
+
+# %%

pyproject.toml

@@ -12,6 +12,7 @@ dependencies = [
     "numpy>=2.2.5",
     "opencv-python>=4.11.0.86",
     "pandas>=2.2.3",
+    "pandas-stubs>=2.3.2.250926",
     "plotly>=6.3.0",
     "scikit-learn>=1.6.1",
     "scipy>=1.15.2",
@@ -48,6 +49,7 @@ select = [
 # Désactiver certaines règles
 ignore = [
     "E501", # line too long, géré par le formatter
+    "E402", # Imports in top of file
 ]
 
 # Exclure certains fichiers ou répertoires
@@ -79,5 +81,5 @@ fixable = ["ALL"]
 unfixable = []
 
 # Formatage des imports
-[isort]
-known-third-party = ["pydantic", "django"]
+[tool.isort]
+known_third_party = ["pydantic", "django"]

uv.lock

@@ -1005,6 +1005,19 @@ wheels = [
     { url = "https://files.pythonhosted.org/packages/ab/5f/b38085618b950b79d2d9164a711c52b10aefc0ae6833b96f626b7021b2ed/pandas-2.2.3-cp313-cp313t-musllinux_1_2_x86_64.whl", hash = "sha256:ad5b65698ab28ed8d7f18790a0dc58005c7629f227be9ecc1072aa74c0c1d43a", size = 13098436, upload-time = "2024-09-20T13:09:48.112Z" },
 ]
 
+[[package]]
+name = "pandas-stubs"
+version = "2.3.2.250926"
+source = { registry = "https://pypi.org/simple" }
+dependencies = [
+    { name = "numpy" },
+    { name = "types-pytz" },
+]
+sdist = { url = "https://files.pythonhosted.org/packages/1b/3b/32be58a125db39d0b5f62cc93795f32b5bb2915bd5c4a46f0e35171985e2/pandas_stubs-2.3.2.250926.tar.gz", hash = "sha256:c64b9932760ceefb96a3222b953e6a251321a9832a28548be6506df473a66406", size = 102147, upload-time = "2025-09-26T19:50:39.522Z" }
+wheels = [
+    { url = "https://files.pythonhosted.org/packages/40/96/1e4a035eaf4dce9610aac6e43026d0c6baa05773daf6d21e635a4fe19e21/pandas_stubs-2.3.2.250926-py3-none-any.whl", hash = "sha256:81121818453dcfe00f45c852f4dceee043640b813830f6e7bd084a4ef7ff7270", size = 159995, upload-time = "2025-09-26T19:50:38.241Z" },
+]
+
 [[package]]
 name = "parso"
 version = "0.8.4"
@@ -1512,6 +1525,7 @@ dependencies = [
     { name = "numpy" },
     { name = "opencv-python" },
     { name = "pandas" },
+    { name = "pandas-stubs" },
     { name = "plotly" },
     { name = "scikit-learn" },
     { name = "scipy" },
@@ -1535,6 +1549,7 @@ requires-dist = [
     { name = "numpy", specifier = ">=2.2.5" },
     { name = "opencv-python", specifier = ">=4.11.0.86" },
     { name = "pandas", specifier = ">=2.2.3" },
+    { name = "pandas-stubs", specifier = ">=2.3.2.250926" },
     { name = "plotly", specifier = ">=6.3.0" },
     { name = "scikit-learn", specifier = ">=1.6.1" },
     { name = "scipy", specifier = ">=1.15.2" },
@@ -1662,6 +1677,15 @@ wheels = [
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 ]
 
+[[package]]
+name = "types-pytz"
+version = "2025.2.0.20250809"
+source = { registry = "https://pypi.org/simple" }
+sdist = { url = "https://files.pythonhosted.org/packages/07/e2/c774f754de26848f53f05defff5bb21dd9375a059d1ba5b5ea943cf8206e/types_pytz-2025.2.0.20250809.tar.gz", hash = "sha256:222e32e6a29bb28871f8834e8785e3801f2dc4441c715cd2082b271eecbe21e5", size = 10876, upload-time = "2025-08-09T03:14:17.453Z" }
+wheels = [
+    { url = "https://files.pythonhosted.org/packages/db/d0/91c24fe54e565f2344d7a6821e6c6bb099841ef09007ea6321a0bac0f808/types_pytz-2025.2.0.20250809-py3-none-any.whl", hash = "sha256:4f55ed1b43e925cf851a756fe1707e0f5deeb1976e15bf844bcaa025e8fbd0db", size = 10095, upload-time = "2025-08-09T03:14:16.674Z" },
+]
+
 [[package]]
 name = "typing-extensions"
 version = "4.15.0"