[ENH] investigate inclusion of tschm ecosystem packages

[fkiraly]

@tschm has created an ecosystem of smaller packages with very interesting stuff: https://github.com/tschm?tab=repositories

• https://github.com/tschm/jquantstats - basic quant methods
• https://github.com/tschm/jsharpe - sharpr ratio and variants
• https://github.com/tschm/pyhrp - hierarchical risk parity

The main drawbacks of these are, in my opinion:

• scattered across multiple repositories with a small scope per package. Hard to find, and would be best in a bundle to avoid the scatterscope problem.
• nice & advanced developer workflow that, at the same time, is unfortunately complex and hence hard to adopt by a new contributors. Good for individual senior devs but not for the masses (@tschm will probably disagree with me here but I am pretty certain...)

I think it would be nice to think about some integration into pyportfolioopt in the mid-term. @tschm has papers about these so just copying code and dropping brands might not be the best option for him credit-wise. Linking is possible but feels cumbersome as a maintenance model.

Any thoughts, @tschm?

[tschm]

I think pyhrp could be integrated. The other packages mentioned have little overlap with portfolio optimization as interpreted in this package

[tschm]

In particular jsharpe is merely a demo of the rhiza framework. Not really relevant here. Rhiza is worthwhile to study a bit

[fkiraly]

The other packages mentioned have little overlap with portfolio optimization as interpreted in this package

Well, but portfolio management, if one were to widen the scope a little, or portfolio evaluation. I do not think one should separate obtaining and analyzing the portfolio, these are two naturally connected - and overlapping - feature sets, since an actual portfolio quant would use these two feature sets iteratively?