Iyengar-Lab / E2E-DROLinks
End-to-end distributionally robust optimization
☆34Updated 2 years ago
Alternatives and similar repositories for E2E-DRO
Users that are interested in E2E-DRO are comparing it to the libraries listed below
Sorting:
- Portfolio Optimization with Cumulative Prospect Theory Utility via Convex Optimization☆35Updated last year
- Python code to perform risk-sensitive Reinforcement Learning with dynamic convex risk measures☆23Updated last year
- Approximate Dynamic Programming for Portfolio Selection Problem☆56Updated 2 years ago
- the codes and some preliminary progress in the work of robust stochastic portfolio optimization☆11Updated 4 years ago
- Markov decision processes under model uncertainty☆15Updated 3 years ago
- Minimal entropic value at risk (EVaR) portfolio construction under a Gaussian mixture model of returns.☆21Updated last year
- Option hedging strategies are investigated using two reinforcement learning algorithms: deep Q network and deep deterministic policy grad…☆21Updated 5 years ago
- Pytorch implementation of Deep Hedging, Utility Maximization and Portfolio Optimization☆14Updated 9 months ago
- ☆27Updated last year
- Risk-Averse Distributional Reinforcement Learning: Code☆28Updated 6 years ago
- Code for NeurIPS2021 submission "A Surrogate Objective Framework for Prediction+Programming with Soft Constraints"☆13Updated 3 years ago
- ☆24Updated last year
- JAX-LOB: A GPU-Accelerated limit order book simulator to unlock large scale reinforcement learning for trading☆25Updated last year
- MIE424 Group Project: smart_predict_optimize☆14Updated 4 years ago
- Some implementations from the paper robust risk aware reinforcement learning☆35Updated 3 years ago
- Official Implementation of Stop-loss adjusted labels for machine learning-based trading of risky assets☆18Updated last year
- ☆35Updated last year
- ☆14Updated 2 years ago
- Deep multistep methods to solve BSDEs of first and second order for the approximation of PDE solutions☆19Updated 5 years ago
- ☆20Updated 6 months ago
- Some codes used for the numerical examples proposed in https://arxiv.org/abs/1812.05916☆14Updated 5 years ago
- Code for the paper "Smart 'Predict, then Optimize'"☆77Updated 10 months ago
- code for "Optimal Stopping via Randomized Neural Networks"☆56Updated last year
- ☆27Updated last month
- Covariance prediction via convex optimization☆21Updated 4 years ago
- Official implementation of our ICML 2023 paper "LinSATNet: The Positive Linear Satisfiability Neural Networks".☆69Updated last year
- ☆67Updated last week
- Source code for Deep Partial Least Squares for Empirical Asset Pricing.☆15Updated 3 years ago
- This repository is the the implementation of the JAIR paper: https://doi.org/10.1613/jair.1.15320. This repository provides the codebase …☆46Updated 3 months ago
- Build DDPG models and test on stock market☆22Updated 6 years ago