agent-skill-creator/examples/financial-analysis-suite-cskill/portfolio-optimization-cskill/SKILL.md

name	description
portfolio-optimizer	Component skill for portfolio optimization using modern portfolio theory, risk metrics, efficient frontier calculation, and asset allocation strategies.

Portfolio Optimizer

This component skill provides sophisticated portfolio optimization capabilities for the financial analysis suite.

When to Use This Component Skill

Use this skill when you need to:

• Optimize asset allocation using Modern Portfolio Theory
• Calculate efficient frontier and optimal portfolios
• Perform risk assessment and stress testing
• Analyze portfolio correlation and diversification
• Generate portfolio recommendations
• Backtest portfolio performance

Optimization Methods

Mean-Variance Optimization

• Markowitz Optimization: Classical MPT approach
• Efficient Frontier: Calculate optimal risk-return combinations
• Sharpe Ratio Maximization: Find best risk-adjusted returns
• Minimum Variance: Lowest risk portfolio

Advanced Optimization

• Black-Litterman Model: Incorporate views and equilibrium
• Robust Optimization: Handle estimation error
• Factor Models: Risk factor-based optimization
• Regime-Based: Different optimization for market conditions

Constraints Support

• Weight Constraints: Min/max allocation limits
• Sector Constraints: Industry/sector allocation limits
• Turnover Constraints: Limit trading activity
• Cardinality Constraints: Limit number of assets

Risk Metrics

Portfolio Risk Measures

• Volatility: Standard deviation of returns
• VaR: Value at Risk (95%, 99% confidence)
• CVaR: Conditional Value at Risk
• Maximum Drawdown: Largest peak-to-trough decline
• Beta: Market sensitivity

Risk Contributions

• Marginal VaR: Individual asset risk contribution
• Component VaR: Decomposition of total risk
• Diversification Ratio: Benefit of diversification

Asset Classes Supported

• Equities: Stocks and ETFs
• Fixed Income: Bonds and bond funds
• Commodities: Gold, oil, agricultural products
• Real Estate: REITs and property funds
• Cryptocurrencies: Digital assets
• Cash: Cash equivalents and money market

Usage Examples

Basic optimization: "Optimize portfolio with AAPL, MSFT, GOOG for maximum Sharpe ratio"

Risk-focused: "Find minimum variance portfolio with tech stocks and bonds"

Constraints: "Optimize portfolio with max 10% per stock and min 5% bonds"

Multi-period: "Create quarterly rebalancing strategy for retirement portfolio"

Scripts Available

• scripts/optimizer.py - Main optimization engine
• scripts/risk_metrics.py - Risk calculation utilities
• scripts/efficient_frontier.py - Efficient frontier calculation
• scripts/backtester.py - Portfolio performance backtesting
• scripts/rebalancer.py - Portfolio rebalancing strategies

Integration

This component skill integrates with:

• Data Acquisition: Gets asset returns and data
• Technical Analysis: Uses signals for timing
• Financial Reporting: Provides optimization results

Configuration

Configuration in config/portfolio_optimization.json:

{
  "optimization": {
    "method": "sharpe_ratio",
    "risk_free_rate": 0.02,
    "frequency": "daily"
  },
  "constraints": {
    "min_weight": 0.01,
    "max_weight": 0.30,
    "max_turnover": 0.20
  },
  "risk_metrics": {
    "var_confidence": 0.95,
    "drawdown_period": 252
  }
}

Output Reports

• Optimal Weights: Recommended asset allocation
• Risk Metrics: Portfolio risk characteristics
• Efficient Frontier: Risk-return tradeoff curve
• Performance Attribution: Source of returns
• Rebalancing Schedule: When and how to rebalance

Stress Testing

• Market Scenarios: Historical crisis periods
• Monte Carlo: Random scenario generation
• Factor Shocks: Interest rate, volatility changes
• Correlation Breakdown: Stress test diversification

This is a Component Skill within the Financial Analysis Suite - specialized in portfolio optimization and risk management.