dppalomar / highOrderPortfolios
Design of High-Order Portfolios via Mean, Variance, Skewness, and Kurtosis
☆23Updated 2 years ago
Alternatives and similar repositories for highOrderPortfolios:
Users that are interested in highOrderPortfolios are comparing it to the libraries listed below
- Large Deviations for volatility options☆13Updated 6 years ago
- ☆13Updated 5 years ago
- Covariance Matrix Estimation via Factor Models☆32Updated 6 years ago
- Modeling of intraday volatility and volume in financial markets☆15Updated last year
- ☆63Updated last month
- Portfolio Construction using Stratified Models☆11Updated 3 years ago
- ☆21Updated 3 years ago
- Compile risk with cvxpy☆13Updated this week
- A Python Package for Portfolio Optimization using the Critical Line Algorithm☆26Updated last year
- Code and examples for the project on risk-constrained Kelly gambling☆26Updated 4 years ago
- JumpDiff: Non-parametric estimator for Jump-diffusion processes for Python☆44Updated 2 years ago
- Estimation of the Covariance Matrix - linear and nonlinear shrinkage☆22Updated 2 years ago
- Bayer, Friz, Gassiat, Martin, Stemper (2017). A regularity structure for finance.☆10Updated 7 years ago
- ☆10Updated 7 years ago
- Bayer, Friz, Gulisashvili, Horvath, Stemper (2017). Short-time near-the-money skew in rough fractional volatility models.☆12Updated 8 years ago
- Tool to support backtests☆43Updated last week
- Minimal entropic value at risk (EVaR) portfolio construction under a Gaussian mixture model of returns.☆20Updated 10 months ago
- ☆19Updated 6 years ago
- This R Shiny App utilizes the Hierarchical Equal Risk Contribution (HERC) approach, a modern portfolio optimization method developed by R…☆13Updated 10 months ago
- Loose collection of Jupyter notebooks, mostly for my blog☆28Updated 4 months ago
- ☆26Updated last month
- Automated Backtesting of Portfolios over Multiple Datasets☆60Updated 2 years ago
- A python implementation of the fast-reversion Heston model of Mechkov [2015, https://goo.gl/2awbrV], for FX purposes.☆11Updated 6 years ago
- Fourier-Bayesian estimation of stochastic volatility models☆16Updated 3 years ago
- Portfolio optimization with cvxopt☆37Updated 2 months ago
- Mean and Covariance Matrix Estimation under Heavy Tails☆22Updated last year
- Design of Portfolio of Stocks to Track an Index☆52Updated last year
- Python modules and jupyter notebook examples for the paper Arbitrage-free Neural-SDE Market Models.☆49Updated 2 years ago
- Functions for the construction of risk-based portfolios☆51Updated 3 years ago
- Here I am collecting the scripts I have used to prepare my book "Adventures in Financial Data Science" and to support my other writing, s…☆62Updated 7 months ago