Minimal entropic value at risk (EVaR) portfolio construction under a Gaussian mixture model of returns.
☆24May 8, 2024Updated 2 years ago
Alternatives and similar repositories for exp_util_gm_portfolio_opt
Users that are interested in exp_util_gm_portfolio_opt are comparing it to the libraries listed below. We may earn a commission when you buy through links labeled 'Ad' on this page.
Sorting:
- Markowitz portfolio construction on CVXPY — DPP-compliant builders that solve long sequences of related problems without recompiling as a…☆37Updated this week
- Robust Bond Portfolio Construction via Convex-Concave Saddle Point Optimization☆14May 13, 2024Updated 2 years ago
- Tool to support backtests☆54Updated this week
- Python library for Random Matrix Theory, cleaning schemes for correlation matrices, and portfolio optimization☆64Jul 5, 2022Updated 4 years ago
- ☆14Sep 1, 2024Updated 2 years ago
- 1-Click AI Models by DigitalOcean Gradient • AdDeploy popular AI models on DigitalOcean Gradient GPU virtual machines with just a single click. Zero configuration with optimized deployments.
- This repository contains a reference implementation of the Markowitz portfolio optimization problem discussed in the paper Markowitz Port…☆38Jul 13, 2026Updated 3 months ago
- Building blocks for trend-following CTA strategies: scale-free oscillators, volatility-adjusted returns, matrix shrinkage and a position …☆18Updated this week
- Bayesian Optimization for very Noisy functions☆19Aug 12, 2021Updated 5 years ago
- A repository for portfolio allocation based on embedding data representation☆13Oct 20, 2026Updated 2 weeks ago
- critical line algorithm for efficient frontier☆24Updated this week
- Simple command line interface to create repos based on templates☆36Jul 13, 2026Updated 3 months ago
- Portfolio risk management via convex optimization — interchangeable risk models behind one abstract interface, solved directly with Clara…☆32Updated this week
- Representing machine learning models using mathematical programming☆19Aug 21, 2024Updated 2 years ago
- Time series and portfolio analytics for quantitative finance.☆50Updated this week
- AI Agents on DigitalOcean Gradient AI Platform • AdBuild production-ready AI agents using customizable tools or access multiple LLMs through a single endpoint. Create custom knowledge bases or connect external data.
- Package to build risk model for factor pricing model☆32Jul 26, 2024Updated 2 years ago
- Production multi-asset portfolio construction and rolling backtesting in Python☆99Updated this week
- ☆33Mar 11, 2025Updated last year
- Tools for constructing and analyzing the incidence graph or matrix of variables and constraints in a JuMP model☆17Mar 6, 2026Updated 8 months ago
- Design of High-Order Portfolios via Mean, Variance, Skewness, and Kurtosis☆28Nov 29, 2022Updated 3 years ago
- ☆72Jul 13, 2026Updated 3 months ago
- Trend filtering☆15Aug 21, 2024Updated 2 years ago
- A CVXPY extension for multi-convex programming☆49Mar 27, 2023Updated 3 years ago
- Implementing a first hurdle for expected returns☆19Updated this week
- GPU virtual machines on DigitalOcean Gradient AI • AdGet to production fast with high-performance AMD and NVIDIA GPUs you can spin up in seconds. The definition of operational simplicity.
- Nonparametric Bayesian volatility learning under microstructure noise☆11Mar 31, 2024Updated 2 years ago
- Code and data related to CVXPY benchmarks.☆14Updated this week
- Implementation of Bayesian PCA [Bishop][1999] And Bayesian Kernel PCA☆13Jan 13, 2021Updated 5 years ago
- ☆11Apr 23, 2024Updated 2 years ago
- Distributionally Robust Learning in PyTorch. Install with `pip install sqwash`.☆12Oct 6, 2023Updated 3 years ago
- This repository contains a collection of functions to evaluate investment strategies regarding multiple testing concerns.☆11Apr 28, 2025Updated last year
- ☆42Aug 29, 2022Updated 4 years ago
- This is forked from yunjhongwu's github: https://github.com/yunjhongwu/Sticky-HDPHMM-demo☆11Jun 25, 2018Updated 8 years ago
- This project is a Python demonstrator for the stochastic grid bundling method (SGBM) to solve backward stochastic differential equations …☆12Nov 19, 2018Updated 7 years ago
- Deploy to Railway using AI coding agents - Free Credits Offer • AdUse Claude Code, Codex, OpenCode, and more. Autonomous software development now has the infrastructure to match with Railway.
- A Package for Shrinkage Estimation of Covariance Matrices☆17Feb 8, 2024Updated 2 years ago
- The code for Fuzzy Investment Counselor (FIC) and Markowitz portfolio theory for stock investment☆14Sep 2, 2020Updated 6 years ago
- Code and data for decision making under strategic behavior, NeurIPS 2020 & Management Science 2024.☆29Feb 28, 2024Updated 2 years ago
- A Python package for General Graphical Lasso computation☆41Sep 2, 2026Updated 2 months ago
- Python modules and jupyter notebook examples for the paper Detect and Repair Arbitrage in Price Data of Traded Options.☆128Jan 10, 2024Updated 2 years ago
- Reduced-space optimization, for optimal power flow.☆23Mar 30, 2025Updated last year
- Example code of simple things one can do with our open-source asset pricing data☆60Oct 25, 2026Updated last week