Iyengar-Lab / E2E-DRO
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
- Portfolio Optimization with Cumulative Prospect Theory Utility via Convex Optimization☆33Updated 11 months ago
- Markov decision processes under model uncertainty☆15Updated 2 years ago
- Minimal entropic value at risk (EVaR) portfolio construction under a Gaussian mixture model of returns.☆20Updated 11 months ago
- Python code to perform risk-sensitive Reinforcement Learning with dynamic convex risk measures☆21Updated last year
- the codes and some preliminary progress in the work of robust stochastic portfolio optimization☆11Updated 4 years ago
- Approximate Dynamic Programming for Portfolio Selection Problem☆56Updated 2 years ago
- Pytorch implementation of Deep Hedging, Utility Maximization and Portfolio Optimization☆14Updated 7 months ago
- Code for the paper "Smart 'Predict, then Optimize'"☆75Updated 8 months ago
- ☆27Updated last year
- Some implementations from the paper robust risk aware reinforcement learning☆35Updated 3 years ago
- ☆13Updated 2 years ago
- ☆13Updated 4 years ago
- Option hedging strategies are investigated using two reinforcement learning algorithms: deep Q network and deep deterministic policy grad…☆21Updated 5 years ago
- ☆14Updated 2 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 …☆37Updated last month
- ☆35Updated 3 years ago
- Code for NeurIPS2021 submission "A Surrogate Objective Framework for Prediction+Programming with Soft Constraints"☆13Updated 3 years ago
- Official implementation of our ICML 2023 paper "LinSATNet: The Positive Linear Satisfiability Neural Networks".☆65Updated last year
- ☆24Updated last year
- Deep Optimal Stopping Project☆16Updated 5 years ago
- ☆18Updated 5 years ago
- LeonardoBerti00 / Data-Normalization-for-Bilinear-Structures-in-High-Frequency-Financial-Time-series-BiN-TABLPytorch implementation of BIN-TABL from Data Normalization for Bilinear Structures in HF Financial Time-series☆10Updated 8 months ago
- ☆26Updated 2 months ago
- ☆17Updated 4 years ago
- A DQN agent that optimally hedges an options portfolio.☆23Updated 5 years ago
- Deep Learning methods to solve path-dependent PDEs / to price path-dependent derivatives like exotic options☆34Updated 3 years ago
- Experiments with distributionally robust optimization (DRO) for deep neural networks☆37Updated 5 years ago
- Official Implementation of Stop-loss adjusted labels for machine learning-based trading of risky assets☆18Updated last year
- MATLAB code to produce results and figures in the paper "Stochastic Optimal Control of Pairs Trading Strategies with Absolute and Relativ…☆14Updated 6 years ago
- ☆9Updated 4 months ago