cvxgrp / covpredLinks
Covariance prediction via convex optimization
☆22Updated 4 years ago
Alternatives and similar repositories for covpred
Users that are interested in covpred are comparing it to the libraries listed below
Sorting:
- Minimal entropic value at risk (EVaR) portfolio construction under a Gaussian mixture model of returns.☆21Updated last year
- ☆19Updated 5 years ago
- Convex optimization over risk-neutral probabilities.☆15Updated 5 years ago
- ☆77Updated 3 years ago
- A variational method for fast, approximate inference for stochastic differential equations.☆44Updated 7 years ago
- Large Deviations for volatility options☆13Updated 6 years ago
- ☆28Updated 5 months ago
- Robust Bond Portfolio Construction via Convex-Concave Saddle Point Optimization☆14Updated last year
- Design of High-Order Portfolios via Mean, Variance, Skewness, and Kurtosis☆25Updated 2 years ago
- Bayesian Optimization of Risk Measures☆21Updated last year
- Portfolio Construction using Stratified Models☆12Updated 4 years ago
- ☆26Updated 5 years ago
- Random Matrix Theory library - RMT analysis and simulation in Python☆51Updated last month
- ☆68Updated 5 months ago
- A CVXPY extension for multi-convex programming☆46Updated 2 years ago
- Code for "Automatic repair of convex optimization problems".☆14Updated 5 years ago
- A CVXPY extension for saddle problems☆28Updated 2 weeks ago
- Portfolio Optimization with Cumulative Prospect Theory Utility via Convex Optimization☆37Updated last year
- End-to-end distributionally robust optimization☆36Updated 2 years ago
- ☆14Updated 6 years ago
- Python package for canonical vine copula trees with mixed continuous and discrete marginals☆49Updated last year
- A package for Shrinkage Estimation of Covariance Matrices☆30Updated last year
- Iterated integral signature calculations☆112Updated 2 weeks ago
- SdePy: Numerical Integration of Ito Stochastic Differential Equations☆44Updated 4 years ago
- Complement the article 'Differential Machine Learning' (Huge & Savine, 2020), including mathematical proofs and important implementation …☆28Updated 3 years ago
- ☆28Updated 2 years ago
- Python library for Random Matrix Theory, cleaning schemes for correlation matrices, and portfolio optimization☆58Updated 3 years ago
- Source code for Deep Partial Least Squares for Empirical Asset Pricing.☆15Updated 3 years ago
- Code for "Deep Signature Transforms" (NeurIPS 2019)☆97Updated last year
- Maximum Likelihood estimation and Simulation for Stochastic Differential Equations (Diffusions)☆54Updated 3 months ago