dppalomar / highOrderPortfolios
Design of High-Order Portfolios via Mean, Variance, Skewness, and Kurtosis
☆24Updated 2 years ago
Alternatives and similar repositories for highOrderPortfolios:
Users that are interested in highOrderPortfolios are comparing it to the libraries listed below
- Covariance Matrix Estimation via Factor Models☆33Updated 5 years ago
- Modeling of intraday volatility and volume in financial markets☆14Updated last year
- Large Deviations for volatility options☆11Updated 5 years ago
- ☆14Updated 5 years ago
- Fourier-Bayesian estimation of stochastic volatility models☆16Updated 3 years ago
- Code and examples for the project on risk-constrained Kelly gambling☆27Updated 4 years ago
- ☆20Updated 3 years ago
- ☆63Updated 2 weeks ago
- Tool to support backtests☆43Updated this week
- Bayer, Friz, Gassiat, Martin, Stemper (2017). A regularity structure for finance.☆10Updated 7 years ago
- A Python Package for Portfolio Optimization using the Critical Line Algorithm☆25Updated last year
- Estimation of the Covariance Matrix - linear and nonlinear shrinkage☆22Updated 2 years ago
- Compile risk with cvxpy☆13Updated this week
- ☆24Updated 2 weeks 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 9 months ago
- A python implementation of the fast-reversion Heston model of Mechkov [2015, https://goo.gl/2awbrV], for FX purposes.☆11Updated 6 years ago
- Loose collection of Jupyter notebooks, mostly for my blog☆28Updated 3 months ago
- Python Code for Meucci Related Blog Posts☆16Updated 8 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 6 months ago
- Functions for the construction of risk-based portfolios☆51Updated 3 years ago
- Non-Linear Covariance Shrinkage☆14Updated 3 years ago
- Portfolio Construction using Stratified Models☆12Updated 3 years ago
- This contains notebooks and scripts used to support my writing in WILMOTT Magazine.☆16Updated 9 months ago
- ☆10Updated 7 years ago
- Python library for Random Matrix Theory, cleaning schemes for correlation matrices, and portfolio optimization☆53Updated 2 years ago
- Bayer, Friz, Gulisashvili, Horvath, Stemper (2017). Short-time near-the-money skew in rough fractional volatility models.☆12Updated 7 years ago
- Code repository for demos of the article 'Arbitrage-Free Implied Volatility Surface Generation with Variational Autoencoders'.☆29Updated last year
- Repository attached to the paper with the same name.☆21Updated 3 years ago
- Mean and Covariance Matrix Estimation under Heavy Tails☆22Updated last year