factorlasso is a Python library for sparse multi-output factor-model estimation with sign constraints, prior-centred shrinkage, data-driven grouped penalties, and consistent factor covariance assembly.
☆26Aug 28, 2026Updated this week
Alternatives and similar repositories for factorlasso
Users that are interested in factorlasso are comparing it to the libraries listed below. We may earn a commission when you buy through links labeled 'Ad' on this page.
Sorting:
- Bloomberg Desktop API request/response data in pandas DataFrames for quantitative research☆19Updated this week
- Robust Bond Portfolio Construction via Convex-Concave Saddle Point Optimization☆14May 13, 2024Updated 2 years ago
- Code for the paper "How to use the Sharpe ratio"☆103Feb 5, 2026Updated 6 months ago
- This repository contains accompanying code for the CFA Institute's Research and Policy Center 'Synthetic Data in Investment Management' r…☆17Jul 28, 2025Updated last year
- ☆16Aug 25, 2025Updated last year
- Deploy on Railway without the complexity - Free Credits Offer • AdConnect your repo and Railway handles the rest with instant previews. Quickly provision container image services, databases, and storage volumes.
- Statistical inference for Sharpe ratios: probabilistic Sharpe ratio, minimum track record length, and FDR/FWER corrections for screening …☆22Updated this week
- ☆72Jul 13, 2026Updated last month
- Portfolio risk management via convex optimization — interchangeable risk models behind one abstract interface, solved directly with Clara…☆30Updated this week
- Python implementation of ARFIMA process with an aim to simulate series.☆22May 17, 2021Updated 5 years ago
- A Python based implementation of swap curve bootstrapping using a multi-dimensional solver.☆11Aug 17, 2025Updated last year
- Markowitz portfolio construction on CVXPY — DPP-compliant builders that solve long sequences of related problems without recompiling as a…☆36Updated this week
- Piecewise quadratic approximation to the Black-Scholes value of a straddle vs. stock price☆15Jan 15, 2026Updated 7 months ago
- Research repo for reinforcement learning–based deep hedging of SPX & SPY options☆21Dec 8, 2025Updated 8 months ago
- A case study in betting on the S&P 500 using the Kelly criterion☆16Jun 16, 2024Updated 2 years ago
- Proton VPN Special Offer - Get 70% off • AdSpecial partner offer. Trusted by over 100 million users worldwide. Tested, Approved and Recommended by Experts.
- Julia package providing access to the Fama-French data available on the Ken French Data Library☆11Oct 26, 2025Updated 10 months ago
- Asset allocation and Portfolio Management Course @ Baruch MFE☆18Feb 1, 2020Updated 6 years ago
- Fix any failing command with ChatGPT☆12May 8, 2023Updated 3 years ago
- This repo is for my articles published on Medium.com☆16Mar 8, 2023Updated 3 years ago
- A collection of utilities written in Modern Fortran☆10Sep 15, 2024Updated last year
- Conway's Game of Life written in Fortran 77 for FreeDOS☆11Oct 8, 2021Updated 4 years ago
- Official repository for the mcf package.☆23Aug 11, 2026Updated 2 weeks ago
- Fortran routines for manipulating ASCII characters (future pull request to fortran-lang/stdlib https://github.com/fortran-lang/stdlib)☆13Jan 26, 2024Updated 2 years ago
- interact with your Fortran program with a matlab-like scripting language☆15Jul 11, 2025Updated last year
- Deploy on Railway without the complexity - Free Credits Offer • AdConnect your repo and Railway handles the rest with instant previews. Quickly provision container image services, databases, and storage volumes.
- The ancestral computer game, circa 1976.☆14Jun 8, 2022Updated 4 years ago
- Realized Volatility Forecasting modeling☆20May 5, 2017Updated 9 years ago
- ☆18Feb 17, 2026Updated 6 months ago
- Modern Fortran implementation of `quadprog`☆13Apr 3, 2026Updated 4 months ago
- FAR++ implements Fortran-like arrays in C++☆15Jun 14, 2025Updated last year
- pandas DataFrame for fortran, with netCDF I/O☆18Dec 24, 2014Updated 11 years ago
- ☆20Mar 5, 2023Updated 3 years ago
- The classic ASCII spinning donut, written in Fortran☆15Nov 25, 2021Updated 4 years ago
- The Laboratory of Algorithms☆14Jul 9, 2018Updated 8 years ago
- Managed hosting for WordPress and PHP on Cloudways • AdManaged hosting for WordPress, Magento, Laravel, or PHP apps, on multiple cloud providers. Deploy in minutes on Cloudways by DigitalOcean.
- Personal notes about Fortran programming language☆13Jun 3, 2021Updated 5 years ago
- This code is for the book☆451Mar 13, 2025Updated last year
- Fortran-Julia syntax comparison and Maxwell Solver in 2D using Yee numerical scheme and MPI topology☆18Jul 1, 2026Updated last month
- ☆10Jul 7, 2026Updated last month
- R Finance packages not listed in the Empirical Finance Task View☆14Aug 1, 2026Updated 3 weeks ago
- Code for reproducing results from the paper "Unified Long Horizon Time Series Benchmark"☆18Jul 9, 2026Updated last month
- Replicate Barra CNE5 multi-factor model and conduct portfolio risk analysis☆19Jun 17, 2025Updated last year