Alternatives and similar repositories for cptopt

Users that are interested in cptopt are comparing it to the libraries listed below

• cvxgrp / exp_util_gm_portfolio_opt
  Minimal entropic value at risk (EVaR) portfolio construction under a Gaussian mixture model of returns.
  ☆21Updated last year
• Iyengar-Lab / E2E-DRO
  End-to-end distributionally robust optimization
  ☆34Updated 2 years ago
• SaremS / sample_notebooks
  Loose collection of Jupyter notebooks, mostly for my blog
  ☆28Updated 8 months ago
• cvxgrp / cvxmarkowitz
  ☆28Updated last month
• Sinbad-The-Sailor / Abacus
  Automatic optimal sequential investment decisions. Forecasts made using advanced stochastic processes with Monte Carlo simulation. Depend…
  ☆20Updated last year
• sebjai / robust-risk-aware-rl
  Some implementations from the paper robust risk aware reinforcement learning
  ☆35Updated 3 years ago
• LRydin / jumpdiff
  JumpDiff: Non-parametric estimator for Jump-diffusion processes for Python
  ☆48Updated 2 years ago
• frontmark / jupyter-notebooks
  Market Data & Derivatives Pricing Tutorial based on Jupyter notebooks
  ☆38Updated 4 years ago
• RiskLabAI / Notebooks.py
  ☆21Updated last week
• KalmanNet / KalmanBOT_ICASSP23
  DATA-AIDED PAIRS TRADING VIA LEARNED KALMAN WITH BOLLINGER BANDS
  ☆35Updated 2 years ago
• cvxgrp / lrsm_portfolio
  Portfolio Construction using Stratified Models
  ☆11Updated 4 years ago
• mfrdixon / GP-CVA
  ☆14Updated 5 years ago
• dppalomar / highOrderPortfolios
  Design of High-Order Portfolios via Mean, Variance, Skewness, and Kurtosis
  ☆25Updated 2 years ago
• Ralami1859 / BayesianOnlineChange-pointDetection-python-codes-
  Implementation of the Bayesian Online Change-point Detector of Ryan Prescott Adams and David McKay.
  ☆15Updated 3 years ago
• cvxgrp / robust_bond_portfolio
  Robust Bond Portfolio Construction via Convex-Concave Saddle Point Optimization
  ☆13Updated last year
• RoughStochVol / regularity_structure_finance
  Bayer, Friz, Gassiat, Martin, Stemper (2017). A regularity structure for finance.
  ☆10Updated 7 years ago
• cvxgrp / cov_pred_finance
  ☆68Updated last month
• phschiele / PyCLA
  A Python Package for Portfolio Optimization using the Critical Line Algorithm
  ☆27Updated last year
• saitcakmak / BoRisk
  Bayesian Optimization of Risk Measures
  ☆21Updated last year
• jv-rv / split-conformal-nonexchangeable
  ☆14Updated 10 months ago
• dlaptev / VarGamma
  Variance Gamma distribution (Python): pdf, cdf, rand and fit.
  ☆12Updated 7 years ago
• acoache / RL-DynamicConvexRisk
  Python code to perform risk-sensitive Reinforcement Learning with dynamic convex risk measures
  ☆23Updated last year
• YukiYasuda2718 / rl-bsmodel-with-costs
  Option hedging strategies are investigated using two reinforcement learning algorithms: deep Q network and deep deterministic policy grad…
  ☆21Updated 5 years ago
• sauxpa / Quant
  Quant finance scripts
  ☆16Updated 3 months ago
• justinhou95 / NeuralHedge
  Pytorch implementation of Deep Hedging, Utility Maximization and Portfolio Optimization
  ☆14Updated 9 months ago
• cvxgrp / covpred
  Covariance prediction via convex optimization
  ☆21Updated 4 years ago
• sebjai / Portfolio-Wasserstein-Ball
  Allows the generation of optimal portfolios with CoIn, Gumbel, and no copula constraint for the stochastic interest rate - constant elast…
  ☆14Updated last year
• Kem975 / Deep_Partial_Least_Squares
  Source code for Deep Partial Least Squares for Empirical Asset Pricing.
  ☆15Updated 3 years ago
• edouardberthe / adp-portfolio-selection
  Approximate Dynamic Programming for Portfolio Selection Problem
  ☆56Updated 2 years ago
• alan-turing-institute / rPSMF
  Code for Probabilistic Sequential Matrix Factorization
  ☆15Updated 4 years ago