Alternatives and similar repositories for cvx_opt_risk_neutral:

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

• cvxgrp / covpred
  Covariance prediction via convex optimization
  ☆21Updated 4 years ago
• cvxgrp / cvxrisk
  Compile risk with cvxpy
  ☆13Updated this week
• cvxgrp / cvxmarkowitz
  ☆26Updated last month
• phschiele / PyCLA
  A Python Package for Portfolio Optimization using the Critical Line Algorithm
  ☆26Updated 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
• cvxgrp / kelly_code
  Code and examples for the project on risk-constrained Kelly gambling
  ☆26Updated 4 years ago
• amuguruza / LDP-VolOptions
  Large Deviations for volatility options
  ☆13Updated 6 years ago
• QingyunSun / Distributional-Robust-Kelly-Gambling
  ☆18Updated 4 years ago
• cvxgrp / cov_pred_finance
  ☆63Updated last month
• ssanderson / convex-optimization-for-finance
  Talk Materials for "Convex Optimization for Finance"
  ☆28Updated 2 years ago
• cvxgrp / cvxpyrepair
  Code for "Automatic repair of convex optimization problems".
  ☆13Updated 5 years ago
• sdepy / sdepy
  SdePy: Numerical Integration of Ito Stochastic Differential Equations
  ☆43Updated 3 years ago
• cvxgrp / dsp
  A CVXPY extension for saddle problems
  ☆26Updated 2 months ago
• mfrdixon / GP-CVA
  ☆13Updated 5 years ago
• AlexIoannides / pymc-stochastic-process
  Bayesian Inference and parameter estimation in quant finance.
  ☆42Updated 6 years ago
• msabvid / Deep-PPDE
  Deep Learning methods to solve path-dependent PDEs / to price path-dependent derivatives like exotic options
  ☆34Updated 3 years ago
• GGiecold / pyRMT
  Python library for Random Matrix Theory, cleaning schemes for correlation matrices, and portfolio optimization
  ☆54Updated 2 years ago
• AlessandroGnoatto / Deep-xVA-Solver
  Implementation of the Deep xVA Solver of Gnoatto, Picarelli and Reisinger (2020) https://arxiv.org/abs/2005.02633
  ☆16Updated 4 years ago
• ronojoy / pybisp
  This aims to be a collection of tools for performing Bayesian parameter estimation and model selection on stochastic processes. The immed…
  ☆11Updated 3 years ago
• microprediction / monteprediction_colab_examples
  Monte Carlo Submission Examples
  ☆16Updated 6 months ago
• MaxGermain / MultistepBSDE
  Deep multistep methods to solve BSDEs of first and second order for the approximation of PDE solutions
  ☆18Updated 4 years ago
• cvxgrp / markowitz-reference
  This repository contains a reference implementation of the Markowitz portfolio optimization problem discussed in the paper Markowitz Port…
  ☆25Updated this week
• differential-machine-learning / appendices
  Complement the article 'Differential Machine Learning' (Huge & Savine, 2020), including mathematical proofs and important implementation …
  ☆27Updated 2 years ago
• cvxgrp / dmcp
  A CVXPY extension for multi-convex programming
  ☆46Updated 2 years ago
• ucaiado / FiniteDifference_Pricing
  Pricing derivatives using the explicit finite-difference method
  ☆13Updated 8 years ago
• JuliaFirstOrder / SeparableOptimization.jl
  A Julia package that solves Linearly Constrained Separable Optimization Problems using ADMM.
  ☆25Updated 3 years ago
• cxzheng / time-dep-hjb
  time-dependent Hamilton-Jacobi PDEs (http://www.cs.columbia.edu/~cxz/TimeDepHJB/)
  ☆15Updated 8 years ago
• hstrey / Ornstein-Uhlenbeck-Bayesian
  ☆18Updated 4 years ago
• cvxgrp / lrsm_portfolio
  Portfolio Construction using Stratified Models
  ☆11Updated 4 years ago
• cvxgrp / cptopt
  Portfolio Optimization with Cumulative Prospect Theory Utility via Convex Optimization
  ☆33Updated 10 months ago