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skfolio

by @skfolioCOMMUNITY· Updated Nov 5, 2026

skfolio/skfolio★ 2,597

skfolio is a Python portfolio optimization library built on scikit-learn, with allocation that respects weight and cost limits.

About

skfolio is a Python library for portfolio optimization and risk modeling, built on scikit-learn. It supports allocation with constraints on weights and costs, factor models, and cross-validation.

What it adds to Moby. A research tool for proposing portfolio weights under real constraints, instead of an unconstrained back-of-the-envelope mix.

How to pair it. pip install skfolio, feed it return series you already have, and solve an allocation with the weight and cost limits you care about. Use the output to reason about a book; execute any live trades through Moby.

What it does not do. It does not place trades or custody funds.

What's inside this repo

  • Portfolio optimization on top of scikit-learn
  • Weight and cost constraints
  • Factor models and cross-validation helpers

Install steps

Third-party code: Moby does not audit or control it. Read the source before you run it.

  1. pip install skfolio
  2. Load asset return series and set weight and cost constraints.
  3. Fit an optimization model and inspect the weights.
  4. Docs: https://skfolio.org
  5. Ask: Using skfolio, propose portfolio weights for these return series with a max weight of 20% and transaction cost limits. Do not place trades.

Permissions

Reads
Return series and constraints you provide
Writes
Optimized weights and risk reports
Tools
Python library `skfolio`
Trade
Never trades

Review

Curated listing. Moby did not audit the code.

On GitHub

skfolio/skfolio

Stars
2,597
Forks
303

How it works with Moby

skfolio works on its own. With Moby your agent can also trade on what it finds.

  1. Set up AI Trading

    In the Moby app: create your agent and fund its Solana wallet.

    Get the app
  2. Connect Moby MCP

    Whale, KOL and smart-money data, plus buy, sell, SL and TP from the agent wallet.

    View Moby MCP
  3. Install skfolio

    Your agent runs it alongside Moby's onchain data and trades inside your Guardrails.

    Install

Curated listing. Moby did not audit the code · Report this item

Install skfolio