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

• cvxgrp / cvxmarkowitz
  ☆26Updated 2 months ago
• cvxgrp / cvxstatarb
  ☆25Updated this week
• justinhou95 / NeuralHedge
  Pytorch implementation of Deep Hedging, Utility Maximization and Portfolio Optimization
  ☆14Updated 7 months ago
• cvxgrp / cvxrisk
  Compile risk with cvxpy
  ☆13Updated last week
• cvxgrp / markowitz-reference
  This repository contains a reference implementation of the Markowitz portfolio optimization problem discussed in the paper Markowitz Port…
  ☆25Updated this week
• cvxgrp / cov_pred_finance
  ☆63Updated this week
• edoberton / heston_nandi_garch
  Script to fit the Heston-Nandi GARCH(1,1) model. Includes MLE of parameters, future path simulation, Monte Carlo simulation for option pr…
  ☆12Updated 3 years ago
• cvxgrp / cptopt
  Portfolio Optimization with Cumulative Prospect Theory Utility via Convex Optimization
  ☆33Updated 11 months ago
• SaremS / sample_notebooks
  Loose collection of Jupyter notebooks, mostly for my blog
  ☆28Updated 5 months ago
• amuguruza / RoughFCLT
  ☆19Updated 6 years ago
• mfrdixon / G-Learning-Wealth-Management
  ☆22Updated 3 years ago
• RoughStochVol / regularity_structure_finance
  Bayer, Friz, Gassiat, Martin, Stemper (2017). A regularity structure for finance.
  ☆10Updated 7 years ago
• sauxpa / Quant
  Quant finance scripts
  ☆15Updated last week
• amuguruza / LDP-VolOptions
  Large Deviations for volatility options
  ☆13Updated 6 years ago
• kwchau / sgbm_xva
  This project is a Python demonstrator for the stochastic grid bundling method (SGBM) to solve backward stochastic differential equations …
  ☆12Updated 6 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
• Kem975 / Deep_Partial_Least_Squares
  Source code for Deep Partial Least Squares for Empirical Asset Pricing.
  ☆14Updated 2 years ago
• Iyengar-Lab / E2E-DRO
  End-to-end distributionally robust optimization
  ☆34Updated 2 years ago
• jgatheral / AFVsimulationCode
  We implement RSQE and HQE simulation schemes from the paper Efficient simulation of affine forward volatility models.
  ☆14Updated 2 years ago
• mChataign / Beyond-Surrogate-Modeling-Learning-the-Local-Volatility-Via-Shape-Constraints
  Repository attached to the paper with the same name.
  ☆21Updated 3 years ago
• dppalomar / highOrderPortfolios
  Design of High-Order Portfolios via Mean, Variance, Skewness, and Kurtosis
  ☆23Updated 2 years ago
• vicaws / neuralSDE-marketmodel
  Python modules and jupyter notebook examples for the paper Arbitrage-free Neural-SDE Market Models.
  ☆50Updated 2 years ago
• phschiele / PyCLA
  A Python Package for Portfolio Optimization using the Critical Line Algorithm
  ☆26Updated last year
• BrianNingUT / ArbFreeIV-VAE
  Code repository for demos of the article 'Arbitrage-Free Implied Volatility Surface Generation with Variational Autoencoders'.
  ☆32Updated 2 years 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
• MarcosCarreira / Hawkes-With-Latency
  Hawkes with Latency
  ☆20Updated 4 years ago
• mfrdixon / GP-CVA
  ☆13Updated 5 years ago
• gmanzog / DeepLearningCreditRiskModeling
  Replication codes for Deep Learning Credit Risk Modeling by Manzo, Qiao
  ☆21Updated 2 years ago
• AlessandroGnoatto / DeepBsdeSolverWithJumps
  Implementation of "A deep solver for BSDEs with jumps"
  ☆13Updated 5 months ago
• yye9701 / KR_example
  ☆22Updated 3 years ago