Iyengar-Lab / E2E-DRO
End-to-end distributionally robust optimization
☆32Updated last year
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 9 months ago
- Minimal entropic value at risk (EVaR) portfolio construction under a Gaussian mixture model of returns.☆20Updated 9 months ago
- 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☆55Updated 2 years ago
- Python code to perform risk-sensitive Reinforcement Learning with dynamic convex risk measures☆20Updated last year
- Markov decision processes under model uncertainty☆14Updated 2 years ago
- Option hedging strategies are investigated using two reinforcement learning algorithms: deep Q network and deep deterministic policy grad…☆20Updated 5 years ago
- Pytorch implementation of Deep Hedging, Utility Maximization and Portfolio Optimization☆13Updated 4 months ago
- Bayesian Optimization of Risk Measures☆21Updated last year
- Samson's MIT Master's Degree Thesis: "Multi-Agent Deep Reinforcement Learning and GAN-Based Market Simulation for Derivatives Pricing and…☆22Updated last year
- Some implementations from the paper robust risk aware reinforcement learning☆35Updated 3 years ago
- ☆9Updated 2 months ago
- ☆17Updated 4 years ago
- Official Implementation of Stop-loss adjusted labels for machine learning-based trading of risky assets☆18Updated last year
- Code for the paper "Smart 'Predict, then Optimize'"☆72Updated 6 months ago
- Official implementation of our ICML 2023 paper "LinSATNet: The Positive Linear Satisfiability Neural Networks".☆63Updated 10 months ago
- Optimistic Bull or Pessimistic Bear: Adaptive Deep Reinforcement Learning for Stock Portfolio Allocation☆34Updated 5 years ago
- 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
- ☆25Updated last year
- Numerical solution of Hamilton Jacobi Bellman equations☆28Updated 10 years ago
- ☆13Updated 2 years ago
- ☆14Updated 3 years ago
- ☆14Updated 3 years ago
- Deep Optimal Stopping Project☆16Updated 5 years ago
- Code for NeurIPS2021 submission "A Surrogate Objective Framework for Prediction+Programming with Soft Constraints"☆13Updated 3 years ago
- Portfolio Construction using Stratified Models☆12Updated 3 years ago
- ☆34Updated 2 years ago
- ☆23Updated 11 months ago
- JAX-LOB: A GPU-Accelerated limit order book simulator to unlock large scale reinforcement learning for trading☆23Updated last year
- Deep multistep methods to solve BSDEs of first and second order for the approximation of PDE solutions☆17Updated 4 years ago