Alternatives and similar repositories for cptopt:

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

• Iyengar-Lab / E2E-DRO
  End-to-end distributionally robust optimization
  ☆34Updated last year
• cvxgrp / exp_util_gm_portfolio_opt
  Minimal entropic value at risk (EVaR) portfolio construction under a Gaussian mixture model of returns.
  ☆20Updated 10 months ago
• SaremS / sample_notebooks
  Loose collection of Jupyter notebooks, mostly for my blog
  ☆28Updated 4 months ago
• juliansester / Robust-Portfolio-Optimization
  Markov decision processes under model uncertainty
  ☆14Updated 2 years ago
• sebjai / robust-risk-aware-rl
  Some implementations from the paper robust risk aware reinforcement learning
  ☆35Updated 3 years ago
• YukiYasuda2718 / rl-bsmodel-with-costs
  Option hedging strategies are investigated using two reinforcement learning algorithms: deep Q network and deep deterministic policy grad…
  ☆20Updated 5 years ago
• Sinbad-The-Sailor / Abacus
  Automatic optimal sequential investment decisions. Forecasts made using advanced stochastic processes with Monte Carlo simulation. Depend…
  ☆20Updated last year
• amuguruza / LDP-VolOptions
  Large Deviations for volatility options
  ☆13Updated 6 years ago
• vanessa-pizante / Deep-Optimal-Stopping
  Deep Optimal Stopping Project
  ☆16Updated 5 years ago
• phschiele / PyCLA
  A Python Package for Portfolio Optimization using the Critical Line Algorithm
  ☆26Updated last year
• KalmanNet / KalmanBOT_ICASSP23
  DATA-AIDED PAIRS TRADING VIA LEARNED KALMAN WITH BOLLINGER BANDS
  ☆34Updated 2 years ago
• amuguruza / RoughFCLT
  ☆19Updated 6 years ago
• sauxpa / Quant
  Quant finance scripts
  ☆15Updated 4 years ago
• mfrdixon / GP-CVA
  ☆13Updated 5 years ago
• cvxgrp / cvxmarkowitz
  ☆26Updated last month
• justinhou95 / NeuralHedge
  Pytorch implementation of Deep Hedging, Utility Maximization and Portfolio Optimization
  ☆13Updated 6 months ago
• cvxgrp / lrsm_portfolio
  Portfolio Construction using Stratified Models
  ☆11Updated 4 years ago
• MaxGermain / MultistepBSDE
  Deep multistep methods to solve BSDEs of first and second order for the approximation of PDE solutions
  ☆18Updated 4 years ago
• alialaradi / PairsTrading
  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
• chrischia06 / Mean-Variance-Hedging
  Code for Undergraduate Dissertation; Exploration of Discrete Time Mean-Variance Hedging strategies 📈
  ☆14Updated 3 years ago
• RoughStochVol / small-time_asymptotics_fractional
  Bayer, Friz, Gulisashvili, Horvath, Stemper (2017). Short-time near-the-money skew in rough fractional volatility models.
  ☆12Updated 8 years ago
• ssanderson / convex-optimization-for-finance
  Talk Materials for "Convex Optimization for Finance"
  ☆28Updated 2 years ago
• oskarimikkila / Empirical-Deep-Hedging
  ☆14Updated 2 years ago
• saitcakmak / BoRisk
  Bayesian Optimization of Risk Measures
  ☆21Updated last year
• 0zean / MODWT-MARS
  Evaluation of Hybrid MODWT-MARS framework for financial time series forecasting
  ☆18Updated 6 months 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…
  ☆13Updated last year
• RoughStochVol / regularity_structure_finance
  Bayer, Friz, Gassiat, Martin, Stemper (2017). A regularity structure for finance.
  ☆10Updated 7 years ago
• dlaptev / VarGamma
  Variance Gamma distribution (Python): pdf, cdf, rand and fit.
  ☆12Updated 7 years ago
• spmvg / evt
  Estimators and analysis for extreme value theory (EVT)
  ☆16Updated 3 years ago
• YannickKae / Statistical-Learning-based-Portfolio-Optimization
  This R Shiny App utilizes the Hierarchical Equal Risk Contribution (HERC) approach, a modern portfolio optimization method developed by R…
  ☆13Updated 10 months ago