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 / robust_bond_portfolio
  Robust Bond Portfolio Construction via Convex-Concave Saddle Point Optimization
  ☆13Updated last year
• cvxgrp / cvxmarkowitz
  ☆27Updated last month
• ssanderson / convex-optimization-for-finance
  Talk Materials for "Convex Optimization for Finance"
  ☆28Updated 2 years ago
• QingyunSun / Distributional-Robust-Kelly-Gambling
  ☆18Updated 5 years ago
• differential-machine-learning / appendices
  Complement the article 'Differential Machine Learning' (Huge & Savine, 2020), including mathematical proofs and important implementation …
  ☆27Updated 2 years ago
• amuguruza / LDP-VolOptions
  Large Deviations for volatility options
  ☆13Updated 6 years ago
• cvxgrp / cvxrisk
  ☆15Updated last week
• cvxgrp / cptopt
  Portfolio Optimization with Cumulative Prospect Theory Utility via Convex Optimization
  ☆35Updated last year
• cvxgrp / exp_util_gm_portfolio_opt
  Minimal entropic value at risk (EVaR) portfolio construction under a Gaussian mixture model of returns.
  ☆21Updated last year
• phschiele / PyCLA
  A Python Package for Portfolio Optimization using the Critical Line Algorithm
  ☆27Updated last year
• cxzheng / time-dep-hjb
  time-dependent Hamilton-Jacobi PDEs (http://www.cs.columbia.edu/~cxz/TimeDepHJB/)
  ☆15Updated 8 years ago
• ucaiado / FiniteDifference_Pricing
  Pricing derivatives using the explicit finite-difference method
  ☆13Updated 8 years ago
• Tom-Ryder / VIforSDEs
  A variational method for fast, approximate inference for stochastic differential equations.
  ☆44Updated 7 years ago
• GGiecold / pyRMT
  Python library for Random Matrix Theory, cleaning schemes for correlation matrices, and portfolio optimization
  ☆55Updated 3 years ago
• cvxgrp / ncvx
  ☆76Updated 3 years ago
• mfrdixon / GP-CVA
  ☆14Updated 5 years ago
• cvxgrp / dmcp
  A CVXPY extension for multi-convex programming
  ☆46Updated 2 years ago
• cvxgrp / kelly_code
  Code and examples for the project on risk-constrained Kelly gambling
  ☆27Updated 4 years ago
• hstrey / Ornstein-Uhlenbeck-Bayesian
  ☆18Updated 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 last week
• AlexIoannides / pymc-stochastic-process
  Bayesian Inference and parameter estimation in quant finance.
  ☆42Updated 6 years ago
• mattja / nsim
  Large scale simulation of ODEs or SDEs, analyze time series.
  ☆25Updated 6 years ago
• sebjai / robust-risk-aware-rl
  Some implementations from the paper robust risk aware reinforcement learning
  ☆35Updated 3 years ago
• cvxgrp / cvxcla
  critical line algorithm for efficient frontier
  ☆16Updated this week
• cvxgrp / cvxpyrepair
  Code for "Automatic repair of convex optimization problems".
  ☆14Updated 5 years ago
• lerasc / SDE_DensityTracking
  numerical solution of the Chapman-Kolmogorov equation / Fokker-Planck equation
  ☆9Updated 3 years ago
• juliusberner / oberwolfach_workshop
  Material for 'Mathematics of Deep Learning Workshop' (Invited Talk)
  ☆17Updated 2 years ago
• Andres-Hernandez / CalibrationNN
  Model Calibration with Neural Networks
  ☆48Updated 7 years ago