# -*- coding: utf-8 -*- #****************************************************************************** # Name of the program: PyCPTAM # Title of the program: Python Module for Constructing Portfolios via Two # Alternative Methods # Version: 001 # # This program is released under GNU General Public License, version 3. # # This program is free software: you can redistribute it and/or modify # it under the terms of the GNU General Public License as published by # the Free Software Foundation, either version 3 of the License, or # (at your option) any later version. # # This program is distributed in the hope that it will be useful, # but WITHOUT ANY WARRANTY; without even the implied warranty of # MERCHANTABILITY or FITNESS FOR A PARTICULAR PURPOSE. See the # GNU General Public License for more details. # # You should have received a copy of the GNU General Public License # along with this program. If not, see . # # This software has been developed by Dr. Alan Mustafa under supervision of # Prof. Abdulnasser Hatemi-J (Hatemi-J, 2012). # Contacts: # - Prof. Abdulnasser Hatemi-J: AHatemi@uaeu.ac.ae # - Dr. Alan Mustafa: Alan.Mustafa@ieee.org # # The work is funded partially by a summer research grant provided by the # UAE university, which is enormously appreciated. # # In case this module is used it needs to be cited as the following: # Mustafa A. and Hatemi-J A. (2023) PyCPTAM: Python Module for Constructing # Portfolios via Two Alternative Methods, Statistical Software Components, # Boston College Department of Economics # # Date: January 2023 # # © 2023 Dr. Alan Mustafa and Prof. Abdulnasser Hatemi-J # #****************************************************************************** import numpy as np import pandas as pd import os from datetime import datetime ####################################### import tkinter as tk # import tkinter as tk2 from tkinter.filedialog import askopenfilename from tabulate import tabulate ############################################################################### # Start of GUI ############################################################################### #========================= functions ========================================= class create_window_menu_UI2(tk.Frame): def __init__(self, master): tk.Frame.__init__(self, master) self.master = master #============= Application Title -------------------------------------- self.lblTitle = tk.Label(self, text="Construction of Portfolio via Two Alternative Methods", font=("Helvetica", 16)) self.lblTitle.grid(row=1, column=0, columnspan=5, sticky="EW") # hr = tk.Frame(self,height=10,width=850,bg="green") hr = tk.Frame(self,height=3,width=850,bg="green") hr.grid(row=2, column=0, columnspan=5, sticky="NWNESWSE") #============= Adding a Blank Row ------------------------------------- self.lblBlnkRow = tk.Label(self, text="", font=("Helvetica", 12)) self.lblBlnkRow.grid(row=16, column=0, sticky="EW") #============= Load My Data Button --------------------------------- self.btnSelectDataFile = tk.Button(self, text="Select the Dataset File", command=lambda: var_DatasetFile.set(os.path.split(askopenfilename())[1]), font=("Arial", 12)) self.btnSelectDataFile.grid(row=20, column=0, sticky="E") var_DatasetFile = tk.StringVar() self.tbx_DatasetFile = tk.Entry(self, textvariable=var_DatasetFile, font=("Helvetica", 10), state="disabled", justify="center") self.tbx_DatasetFile.grid(row=20, column=1, sticky="EW") #============= Adding a label for OR sign ----------------------------- self.btnLoadMydata = tk.Label(self, text="OR ", font=("Arial Narrow", 12)) self.btnLoadMydata.grid(row=20, column=2, sticky="EW") #============= Load Sample Data Button -------------------------------- self.btnLoadSmplData = tk.Button(self, text="Load the Sample Data \nand Calculate the Portfolio", command=lambda: loadSampleData(self), font=("Arial", 12)) self.btnLoadSmplData.grid(row=20, column=3, rowspan=2, sticky="W") #============= Calculate Proftfolio Diversification Button --------------------------------- self.btnCalcPD = tk.Button(self, text="Calculate the Protfolio", command=lambda: LoadDataFile(var_DatasetFile,self), font=("Arial", 12)) self.btnCalcPD.grid(row=21, column=0, sticky="E") #============= Dataset File Selection --------------------------------- self.btnExit = tk.Button(self, text="Close", command=self.master.destroy, font=("Arial", 12)) self.btnExit.grid(row=22, column=3, sticky="W") #============= Start of Printing Data in a Table ---------------------- self.msgOutput_lblHeader = tk.Label(self, text="", font=("Consolas", 12), anchor="w") self.msgOutput_lblHeader .grid(row=160, column=0, columnspan=3, sticky="ew") self.msgOutput_RunMsg2 = tk.Label(self, text="", font=("Consolas", 12), anchor="w") self.msgOutput_RunMsg2.grid(row=165, column=0, columnspan=3, sticky="ew") #============= --------------- self.lblRprtDesc = tk.Message(self, text="", font=("Arial Narrow", 12), anchor="w", justify="left", bg='#f0f0f0') self.lblRprtDesc.bind("", lambda e: self.lblRprtDesc.configure(width=e.width-5)) self.lblRprtDesc.grid(row=165, column = 3, columnspan=2, sticky="W") #============= Printing Keys for the Data in the Table if needed ------ self.msgOutput_tblKeys = tk.Message(self, text="", font=("Consolas", 12), anchor="w", justify="left") self.msgOutput_tblKeys.bind("", lambda e: self.msgOutput_tblKeys.configure(width=e.width-10)) self.msgOutput_tblKeys.grid(row=166, column=0, columnspan=3, sticky="ew") #============= Output EndNote --------------------------------- hr = tk.Frame(self,height=1,width=850,bg="green") hr.grid(row=200, column=0, columnspan=4, sticky="NWNESWSE") self.msgEndNote = tk.Message(self, text="", font=("Helvetica", 8, "italic"), anchor="w", justify="left", bg="#d4d4d4") self.msgEndNote.bind("", lambda e: self.msgEndNote.configure(width=e.width-10)) self.msgEndNote.grid(row=210, column=0, columnspan=4, sticky="ew") ############################################################################### # End of GUI # ############################################################################### ############################################################################### ################## START OF SAMPLE DATA ############################### ############################################################################### def loadSampleData(self): headers=["Date_of_Assets","USD-JPY","Brent Oil","DAX","Dow Jones"] dates = ['02/01/2019', '03/01/2019', '04/01/2019', '07/01/2019', '08/01/2019', '09/01/2019', '10/01/2019', '11/01/2019', '14/01/2019', '15/01/2019', '16/01/2019', '17/01/2019', '18/01/2019', '21/01/2019', '22/01/2019', '23/01/2019', '24/01/2019', '25/01/2019', '28/01/2019', '29/01/2019', '30/01/2019', '31/01/2019', '01/02/2019', '04/02/2019', '05/02/2019', '06/02/2019', '07/02/2019', '08/02/2019', '11/02/2019', '12/02/2019', '13/02/2019', '14/02/2019', '15/02/2019', '18/02/2019', '19/02/2019', '20/02/2019', '21/02/2019', '22/02/2019', '25/02/2019', '26/02/2019', '27/02/2019', '28/02/2019', '01/03/2019', '04/03/2019', '05/03/2019', '06/03/2019', '07/03/2019', '08/03/2019', '11/03/2019', '12/03/2019', '13/03/2019', '14/03/2019', '15/03/2019', '18/03/2019', '19/03/2019', '20/03/2019', '21/03/2019', '22/03/2019', '25/03/2019', '26/03/2019', '27/03/2019', '28/03/2019', '29/03/2019'] asset1 = [108.88, 107.67, 108.53, 108.72, 108.75, 108.17, 108.42, 108.55, 108.17, 108.67, 109.09, 109.24, 109.78, 109.67, 109.38, 109.6, 109.64, 109.55, 109.36, 109.39, 109.03, 108.88, 109.5, 109.89, 109.97, 109.97, 109.81, 109.73, 110.38, 110.48, 111, 110.48, 110.5, 110.62, 110.62, 110.86, 110.7, 110.69, 111.06, 110.58, 111, 111.39, 111.92, 111.75, 111.89, 111.77, 111.59, 111.17, 111.2, 111.36, 111.17, 111.72, 111.47, 111.42, 111.39, 110.69, 110.81, 109.92, 109.97, 110.64, 110.52, 110.64, 110.86] asset2 = [54.91, 55.95, 57.06, 57.33, 58.72, 61.44, 61.68, 60.48, 58.99, 60.64, 61.32, 61.18, 62.7, 62.74, 61.5, 61.14, 61.09, 61.64, 59.93, 61.32, 61.65, 61.89, 62.75, 62.51, 61.98, 62.69, 61.63, 62.1, 61.51, 62.42, 63.61, 64.57, 66.25, 66.5, 66.45, 67.08, 67.07, 67.12, 64.76, 65.21, 66.39, 66.03, 65.07, 65.67, 65.86, 65.99, 66.3, 65.74, 66.58, 66.67, 67.55, 67.23, 67.16, 67.54, 67.61, 68.5, 67.86, 67.03, 67.21, 67.97, 67.83, 67.82, 68.39] asset3 = [10580.19, 10416.66, 10767.69, 10747.81, 10803.98, 10893.32, 10921.59, 10887.46, 10855.91, 10891.79, 10931.24, 10918.62, 11205.54, 11136.2, 11090.11, 11071.54, 11130.18, 11281.79, 11210.31, 11218.83, 11181.66, 11173.1, 11180.66, 11176.58, 11367.98, 11324.72, 11022.02, 10906.78, 11014.59, 11126.08, 11167.22, 11089.79, 11299.8, 11299.2, 11309.21, 11401.97, 11423.28, 11457.7, 11505.39, 11540.79, 11487.33, 11515.64, 11601.68, 11592.66, 11620.74, 11587.63, 11517.8, 11457.84, 11543.48, 11524.17, 11572.41, 11587.47, 11685.69, 11657.06, 11788.41, 11603.89, 11549.96, 11364.17, 11346.65, 11419.48, 11419.04, 11428.16, 11526.04] asset4 = [23346.24, 22686.22, 23433.16, 23531.35, 23787.45, 23879.12, 24001.92, 23995.95, 23909.84, 24065.59, 24207.16, 24370.1, 24706.35, 24706.35, 24404.48, 24575.62, 24553.24, 24737.2, 24528.22, 24579.96, 25014.86, 24999.67, 25063.89, 25239.37, 25411.52, 25390.3, 25169.53, 25106.33, 25053.11, 25425.76, 25543.27, 25439.39, 25883.25, 25883.25, 25891.32, 25954.44, 25850.63, 26031.81, 26091.95, 26057.98, 25985.16, 25916, 26026.32, 25819.65, 25806.63, 25673.46, 25473.23, 25450.24, 25650.88, 25554.66, 25702.89, 25709.94, 25848.87, 25914.1, 25887.38, 25745.67, 25962.51, 25502.32, 25516.83, 25657.73, 25625.59, 25717.46, 25928.68] csvFileName = 'PD_Sample.csv' # PD: Portfolio Diversification df = pd.DataFrame(dates) df['Asset1'] = asset1 df['Asset2'] = asset2 df['Asset3'] = asset3 df['Asset4'] = asset4 df.columns = headers df.to_csv(csvFileName, header=True, index=False) calc_pd_vrar(df,self) ############################################################################### ################## END SAMPLE DATA ################################## ############################################################################### ############################################################################### ################## START OF LOADING DATA FILE ###################### ############################################################################### def LoadDataFile(fileName,self): # df: DataFrame theFile = pd.read_csv(fileName.get(), sep = ',', decimal = ',', header=0, index_col=False) df2 = pd.DataFrame(theFile) headers_list = list(df2.columns.values) for column in headers_list[1:]: df2[column] = df2[column].astype(np.float64) calc_pd_vrar(df2,self) ############################################################################### ################## ENDING OF LOADING DATA FILE #################### ############################################################################### ############################################################################### # Start of Calculations: Calculation for Constructing Portfolio # ############################################################################### def calc_pd_vrar(df,self): # df: DataFrame x = df.iloc[:, 1:].values; noOfCols = len(df.iloc[0, :].values); roa = np.exp(np.diff(np.log(x), axis = 0))-1 # => roa = (b2 - b1)/b1 : Return of Asset theCov = np.cov(roa, rowvar=False) Er = np.average(roa, axis=0) # Er: Average Return Values SD = np.std(roa, axis=0, ddof=1) RAdjR = np.divide(Er, SD) #=============== Calculating Hs&K and Cs&E ===================== # Hs: the selected columns from K # K: calculating values from both matrices of Ev and Cov # Cs: table of covariance # E: selected columns from Covariance table rows = len(theCov) - 1 cols = len(theCov[0]) Cij = np.array([[0 for i in range(cols)] for j in range(rows)], dtype=float) Kij = np.array([[0 for i in range(cols)] for j in range(rows)], dtype=float) for iRows in range(0,rows): for jCols in range(0,cols): Cij[iRows,jCols] = (2*theCov[iRows+1,jCols])-(2*theCov[iRows, jCols]) Kij[iRows,jCols] = (Er[iRows]*2*theCov[iRows+1,jCols])-(Er[iRows+1]*2*theCov[iRows, jCols]) theOnes = np.ones(rows+1) Cij = np.vstack([Cij, theOnes]) Kij = np.vstack([Kij, theOnes]) detC = np.linalg.det(Cij) detK = np.linalg.det(Kij) #=============== Calculating Ws =============================== # Es stands for 'W (weight) for MV' # Ws stands for W (weight) for MRAR wRows = len(Kij) wCols = len(Kij[0]) Ei = np.array([0 for i in range(wCols)], dtype=float) Wi = np.array([0 for i in range(wCols)], dtype=float) Eij = np.array([[0 for i in range(wCols-1)] for j in range(wRows-1)], dtype=float) Wij = np.array([[0 for i in range(wCols-1)] for j in range(wRows-1)], dtype=float) WijCol = 0 for theWiCol in range(0,wCols): for jwCols in range(0,wCols): if theWiCol != jwCols: for iwRows in range(0,wRows-1): Eij[iwRows,WijCol] = Cij[iwRows, jwCols] Wij[iwRows,WijCol] = Kij[iwRows, jwCols] WijCol +=1 sign_p = (theWiCol + 1) + wCols; # One is added to theWiCol becuase the loop start from 0. sign_ = (-1)**sign_p; Ei[theWiCol] = sign_ * (np.linalg.det(Eij) / detC) Wi[theWiCol] = sign_ * (np.linalg.det(Wij) / detK) WijCol =0 PD_MV_AR = np.sum(np.array(Er) * np.array(Ei)) PD_MRAR_AR = np.sum(np.array(Er) * np.array(Wi)) noOfAssets = noOfCols - 1; sigma_p_ = 0 sigma_p_c_ = 0 for sd_i in range(0,noOfAssets): for sd_j in range(0,noOfAssets): w_sd_i = Ei[sd_i]; w_sd_j = Ei[sd_j]; w_D_sd_i = Wi[sd_i]; w_D_sd_j = Wi[sd_j]; sigma_p_ = sigma_p_ + (w_sd_i * w_sd_j * theCov[sd_i, sd_j]); sigma_p_c_ = sigma_p_c_ + (w_D_sd_i * w_D_sd_j * theCov[sd_i, sd_j]); PD_MV_sigma_p = np.sqrt(sigma_p_); PD_MRAR_sigma_p_c = np.sqrt(sigma_p_c_); PD_MV_RAR = PD_MV_AR / PD_MV_sigma_p; PD_MRAR_RAR = PD_MRAR_AR / PD_MRAR_sigma_p_c; MV = [PD_MV_AR,PD_MV_sigma_p,PD_MV_RAR,'',''] MRAR = [PD_MRAR_AR,PD_MRAR_sigma_p_c,PD_MRAR_RAR,'',''] Asset_df = [] Er_df = [] SD_df = [] RAdjR_df = [] Ei_df = [] Wi_df = [] PD_MV = [] PD_MRAR = [] Asset_df = 'Assets' Er_lbl = 'E(r)' lbl_Note = 'Note' SD_df = 'Standard Deviasion' RAdjR_df = 'Risk Adjusted Return' Ei_df = 'w for MV' Wi_df = 'w for MRAR' PD_MV = 'Portfolio - Minimum Variance (MV)' PD_MRAR = 'Portfolio - Maximum Risk Adjusted Return (MRAR)' Asset_df = np.append(Asset_df,df.columns[1:]) Er_df = np.append(Er_lbl,Er) SD_df = np.append(SD_df,SD) RAdjR_df = np.append(RAdjR_df,RAdjR) Ei_df = np.append(Ei_df,Ei) Wi_df = np.append(Wi_df,Wi) PD_MV = np.append(PD_MV,MV) PD_MRAR = np.append(PD_MRAR,MRAR) estResult=[] estResult = Asset_df estResult = np.vstack((estResult,Er_df)) estResult = np.vstack((estResult,SD_df)) estResult = np.vstack((estResult,RAdjR_df)) estResult = np.vstack((estResult,Ei_df)) estResult = np.vstack((estResult,Wi_df)) estResult2 = estResult.transpose() estResult4 = np.vstack((estResult2,PD_MV)) estResult5 = np.vstack((estResult4,PD_MRAR)) # "ebs: Estimated Budget Shares" for the summary table esb_w_MV = "w_MV" esb_w_MRAR = "w_MRAR" wi_MV_1 = np.array(np.round(Ei, decimals = 5)) wi_MRAR_1 = np.array(np.round(Wi, decimals = 5)) wi_MV_1 = np.append(esb_w_MV,wi_MV_1) wi_MRAR_1 = np.append(esb_w_MRAR,wi_MRAR_1) Smry0 = np.vstack((Asset_df,wi_MV_1)) Smry1 = np.vstack((Smry0,wi_MRAR_1)) Smry = Smry1.transpose() Er_1 = np.array(np.sign(Er)).astype(object) Er_1[Er_1 == -1] = '*' Er_1[Er_1 == 1] = '' if (np.any(Er_1[:] == '*')): Er_df_onGUI = np.append(lbl_Note,Er_1) Smry_onGUI_1 = np.vstack((Smry1,Er_df_onGUI)) Smry_onGUI = Smry_onGUI_1.transpose() infoText = """Two copies of the report of formats (*.csv) and (*.txt) with additional details have been added to the same folder as the program resides in [PyCPTAM_rprt_YMD_Time.csv/txt] formats!""" infoText_bg = '#cce7c9' keys_ = '\nDenotations:\n' keys_ += 'w: Weights as the Budget Shares\n' keys_ += 'MV: Minimum Variance method\n' keys_ += 'MRAR: Maximum Risk Adjusted Return method\n' keys_ += '*: This means that the value for the Average Return of the asset is negative and it should be removed from the portfolio' else: Smry_onGUI = Smry1.transpose() infoText = "" infoText_bg = '#f0f0f0' keys_ = '\nDenotations:\n' keys_ += 'w: Weights as the Budget Shares\n' keys_ += 'MV: Minimum Variance\n' keys_ += 'MRAR: Maximum Risk Adjusted Return\n' fileName,dt_string2 = create_rprt_file(estResult5,Smry,Smry_onGUI,infoText,infoText_bg,keys_,self); EndNote(fileName,self); return; ################################################ def create_rprt_file(theDF,Smry,Smry_onGUI,infoText,infoText_bg,keys_,self): # theDF: New DataFrame #=============== creating Output Report File ============================== now = datetime.now() dt_string2 = now.strftime("%Y%m%d_%H%M%S") txtFileName = 'PyCPTAM_rprt' + '_' + dt_string2 + '.txt' output_rprt_file = open(txtFileName,'w') output_rprt_file.write('#############################################################################\n') output_rprt_file.write('# #\n') output_rprt_file.write('# PORTFOLIO DIVERSIFICATION RESULTS VIA TWO ALTERNATIVE METHODS #\n') output_rprt_file.write('# #\n') output_rprt_file.write('#############################################################################\n') output_rprt_file.write(tabulate(theDF)) output_rprt_file.write('\n') output_rprt_file.close ############################ csvFileName = 'PyCPTAM_rprt' + '_' + dt_string2 + '.csv' df = pd.DataFrame(theDF) df.to_csv(csvFileName, header=False, index=False) ############################ self.msgOutput_lblHeader["text"] = "Estimated Budget Shares via Two Alternative Methods" self.msgOutput_RunMsg2["text"] = tabulate(Smry_onGUI, tablefmt='psql'); self.lblRprtDesc["text"] = infoText self.lblRprtDesc["bg"] = infoText_bg self.msgOutput_tblKeys["text"] = keys_ return(txtFileName,dt_string2); ################################################ def EndNote(fileName,self): output_rprt_file = open(fileName,'a'); output_rprt_file.write('\n'); output_rprt_file.write('==========================================================================================\n'); output_rprt_file.write('| REFERENCES |\n'); output_rprt_file.write('| - Markowitz H. (1952) Portfolio Selection, Journal of Finance, vol. 7(1), 77-91. |\n'); output_rprt_file.write('| - Hatemi-J A. and El-Khatib Y. (2015) Portfolio Selection: An Alternative Approach, |\n'); output_rprt_file.write('| Economics Letters, vol. 135, 141-143. |\n'); output_rprt_file.write('| - Hatemi-J A., Hajji, M.A. and El-Khatib Y. (2022) Exact solution for the portfolio |\n'); output_rprt_file.write('| diversification problem based on maximizing the risk adjusted return. Research in |\n'); output_rprt_file.write('| International Business and Finance, 59, 101548. |\n'); output_rprt_file.write('| |\n'); output_rprt_file.write('==========================================================================================\n'); output_rprt_file.write('\n'); output_rprt_file.write('==========================================================================================\n'); output_rprt_file.write('| ADDITIONAL INFORMATION |\n'); output_rprt_file.write('| |\n'); output_rprt_file.write('| This program code is the copyright of the authors. Applications are allowed |\n'); output_rprt_file.write('| only if proper reference and acknowledgments are |\n'); output_rprt_file.write('| provided. For non-Commercial applications only. No performance guarantee is |\n'); output_rprt_file.write('| made. Bug reports are welcome. If this code is used for research or in any |\n'); output_rprt_file.write('| other code, proper attribution needs to be included. |\n'); output_rprt_file.write('| |\n'); output_rprt_file.write('| © 2023 Dr. Alan Mustafa and Prof. Abdulnasser Hatemi-J |\n'); output_rprt_file.write('==========================================================================================\n'); output_rprt_file.close; # -------------------------------------------------------------------------- txtEndNote = ""; txtEndNote = txtEndNote + """REFERENCES: - Markowitz H. (1952) Portfolio Selection, Journal of Finance, vol. 7(1), 77-91. - Hatemi-J A. and El-Khatib Y. (2015) Portfolio Selection: An Alternative Approach, Economics Letters, vol. 135, 141-143. - Hatemi-J A., Hajji, M.A. and El-Khatib Y. (2022) Exact solution for the portfolio diversification problem based on maximizing the risk adjusted return. Research in International Business and Finance, 59, 101548. ADDITIONAL INFORMATION: This program code is the copyright of the authors. Applications are allowed only if proper reference and acknowledgments are provided. For non-Commercial applications only. No performance guarantee is made. Bug reports are welcome. If this code is used for research or in any other code, proper attribution needs to be included. © 2023 Dr. Alan Mustafa and Prof. Abdulnasser Hatemi-J """ self.msgEndNote["text"] = "%s" % (txtEndNote) return; ############################################################################### # End of Calculations: Asymmetric Causality Test # ############################################################################### #In the main function, create the GUI and pass it to the App class def main(): window2= tk.Tk() window2.title("PyCPTAM") # window2.geometry('950x900') window2.geometry('850x700') create_window_menu_UI2(window2).grid(row=0, column=0, columnspan=1, sticky="W") window2.mainloop() #Run the main function if __name__ == "__main__": main()