Alternatives and similar repositories for lrsm_portfolio:

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

• QingyunSun / Distributional-Robust-Kelly-Gambling
  ☆18Updated 4 years ago
• dppalomar / highOrderPortfolios
  Design of High-Order Portfolios via Mean, Variance, Skewness, and Kurtosis
  ☆24Updated 2 years ago
• sauxpa / Quant
  Quant finance scripts
  ☆15Updated 4 years ago
• amuguruza / LDP-VolOptions
  Large Deviations for volatility options
  ☆11Updated 5 years ago
• cvxgrp / cov_pred_finance
  ☆63Updated this week
• msabvid / Deep-PPDE
  Deep Learning methods to solve path-dependent PDEs / to price path-dependent derivatives like exotic options
  ☆33Updated 2 years ago
• cvxgrp / kelly_code
  Code and examples for the project on risk-constrained Kelly gambling
  ☆26Updated 4 years ago
• cvxgrp / cptopt
  Portfolio Optimization with Cumulative Prospect Theory Utility via Convex Optimization
  ☆33Updated 8 months ago
• justinhou95 / NeuralHedge
  Pytorch implementation of Deep Hedging, Utility Maximization and Portfolio Optimization
  ☆12Updated 3 months ago
• convexfi / intradayModel
  Modeling of intraday volatility and volume in financial markets
  ☆13Updated last year
• sebjai / robust-risk-aware-rl
  Some implementations from the paper robust risk aware reinforcement learning
  ☆35Updated 3 years ago
• convexfi / fingraph
  Graphical Models in Heavy-Tailed Markets (NeurIPS 2021)
  ☆38Updated last year
• cvxgrp / covpred
  Covariance prediction via convex optimization
  ☆19Updated 3 years ago
• YannickKae / Statistical-Learning-based-Portfolio-Optimization
  This R Shiny App utilizes the Hierarchical Equal Risk Contribution (HERC) approach, a modern portfolio optimization method developed by R…
  ☆13Updated 8 months ago
• vicaws / neuralSDE-marketmodel
  Python modules and jupyter notebook examples for the paper Arbitrage-free Neural-SDE Market Models.
  ☆48Updated 2 years ago
• cvxgrp / exp_util_gm_portfolio_opt
  Minimal entropic value at risk (EVaR) portfolio construction under a Gaussian mixture model of returns.
  ☆20Updated 8 months ago
• cvxgrp / cvxmarkowitz
  ☆25Updated this week
• cvxgrp / cvxstatarb
  ☆23Updated this week
• LRydin / jumpdiff
  JumpDiff: Non-parametric estimator for Jump-diffusion processes for Python
  ☆45Updated last year
• RoughStochVol / regularity_structure_finance
  Bayer, Friz, Gassiat, Martin, Stemper (2017). A regularity structure for finance.
  ☆10Updated 7 years ago
• GGiecold / pyRMT
  Python library for Random Matrix Theory, cleaning schemes for correlation matrices, and portfolio optimization
  ☆49Updated 2 years ago
• yye9701 / KR_example
  ☆20Updated 2 years ago
• chrischia06 / Mean-Variance-Hedging
  Code for Undergraduate Dissertation; Exploration of Discrete Time Mean-Variance Hedging strategies 📈
  ☆14Updated 3 years ago
• RiskLabAI / Notebooks.py
  ☆15Updated this week
• Quiota / tensorflow
  ☆10Updated 7 years ago
• amwatt / thermal_optimal_path
  Dynamic lead/lag inference for time series
  ☆15Updated 5 years ago
• RefaelLasry / EstimationOfCovarianceMatrix
  Estimation of the Covariance Matrix - linear and nonlinear shrinkage
  ☆21Updated 2 years ago
• cvxgrp / cvxrisk
  Compile risk with cvxpy
  ☆11Updated this week
• amuguruza / RoughFCLT
  ☆18Updated 6 years ago
• mcindoe / regimedetection
  ☆33Updated last year