cvxgrp / cptoptLinks
Portfolio Optimization with Cumulative Prospect Theory Utility via Convex Optimization
☆37Updated last year
Alternatives and similar repositories for cptopt
Users that are interested in cptopt are comparing it to the libraries listed below
Sorting:
- Minimal entropic value at risk (EVaR) portfolio construction under a Gaussian mixture model of returns.☆22Updated last year
- End-to-end distributionally robust optimization☆37Updated 2 years ago
- Some implementations from the paper robust risk aware reinforcement learning☆36Updated 4 years ago
- ☆32Updated last week
- Loose collection of Jupyter notebooks, mostly for my blog☆28Updated last year
- Estimation of the Covariance Matrix - linear and nonlinear shrinkage☆23Updated 3 years ago
- Option hedging strategies are investigated using two reinforcement learning algorithms: deep Q network and deep deterministic policy grad…☆21Updated 6 years ago
- Bayesian Optimization of Risk Measures☆21Updated 2 years ago
- Design of High-Order Portfolios via Mean, Variance, Skewness, and Kurtosis☆27Updated 3 years ago
- Automatic optimal sequential investment decisions. Forecasts made using advanced stochastic processes with Monte Carlo simulation. Depend…☆22Updated last year
- Bayer, Friz, Gulisashvili, Horvath, Stemper (2017). Short-time near-the-money skew in rough fractional volatility models.☆13Updated 8 years ago
- MATLAB code to produce results and figures in the paper "Stochastic Optimal Control of Pairs Trading Strategies with Absolute and Relativ…☆15Updated 7 years ago
- Large Deviations for volatility options☆13Updated 6 years ago
- Approximate Dynamic Programming for Portfolio Selection Problem☆56Updated 3 years ago
- Robust Bond Portfolio Construction via Convex-Concave Saddle Point Optimization☆14Updated last year
- Some codes used for the numerical examples proposed in https://arxiv.org/abs/1812.05916☆13Updated 6 years ago
- Non-Linear Covariance Shrinkage☆14Updated 4 years ago
- TensorFlow implementation of the HARNet model for realized volatility forecasting.☆28Updated 2 years ago
- ☆71Updated 7 months ago
- JumpDiff: Non-parametric estimator for Jump-diffusion processes for Python☆49Updated 3 years ago
- Bayer, Friz, Gassiat, Martin, Stemper (2017). A regularity structure for finance.☆12Updated 8 years ago
- the codes and some preliminary progress in the work of robust stochastic portfolio optimization☆11Updated 5 years ago
- Source code for Deep Partial Least Squares for Empirical Asset Pricing.☆15Updated 3 years ago
- Quant finance scripts☆16Updated 9 months ago
- ☆22Updated 7 years ago
- DATA-AIDED PAIRS TRADING VIA LEARNED KALMAN WITH BOLLINGER BANDS☆35Updated 3 years ago
- Pytorch implementation of Deep Hedging, Utility Maximization and Portfolio Optimization☆17Updated last year
- Python library for Random Matrix Theory, cleaning schemes for correlation matrices, and portfolio optimization☆61Updated 3 years ago
- Variance Gamma distribution (Python): pdf, cdf, rand and fit.☆12Updated 7 years ago
- Pipeline for Time Series Generation with Comprehensive Evaluation Metrics☆47Updated last year