dppalomar / highOrderPortfoliosLinks
Design of High-Order Portfolios via Mean, Variance, Skewness, and Kurtosis
☆25Updated 3 years ago
Alternatives and similar repositories for highOrderPortfolios
Users that are interested in highOrderPortfolios are comparing it to the libraries listed below
Sorting:
- Large Deviations for volatility options☆13Updated 6 years ago
- Covariance Matrix Estimation via Factor Models☆37Updated 6 years ago
- ☆68Updated 5 months ago
- Source code for Deep Fundamental Factor Models, https://arxiv.org/abs/1903.07677☆65Updated 3 years ago
- Volatility models for stock prices using deep learning and mixture models.☆16Updated 3 years ago
- A package for Shrinkage Estimation of Covariance Matrices☆30Updated last year
- This R Shiny App utilizes the Hierarchical Equal Risk Contribution (HERC) approach, a modern portfolio optimization method developed by R…☆15Updated last year
- ☆21Updated 7 years ago
- Loose collection of Jupyter notebooks, mostly for my blog☆28Updated last year
- Implement, demonstrate, reproduce and extend the results of the Risk articles 'Differential Machine Learning' (2020) and 'PCA with a Diff…☆144Updated 3 years ago
- Implementation of "A deep solver for BSDEs with jumps"☆15Updated last year
- Bayer, Friz, Gassiat, Martin, Stemper (2017). A regularity structure for finance.☆11Updated 8 years ago
- ☆29Updated last week
- JumpDiff: Non-parametric estimator for Jump-diffusion processes for Python☆49Updated 2 years ago
- ☆24Updated 4 years ago
- Tool to support backtests☆48Updated this week
- ☆31Updated 5 months ago
- ☆14Updated 6 years ago
- Code and examples for the project on risk-constrained Kelly gambling☆28Updated 5 years ago
- Minimal entropic value at risk (EVaR) portfolio construction under a Gaussian mixture model of returns.☆21Updated last year
- ☆20Updated this week
- Estimation of the Covariance Matrix - linear and nonlinear shrinkage☆23Updated 3 years ago
- Allows the generation of optimal portfolios with CoIn, Gumbel, and no copula constraint for the stochastic interest rate - constant elast…☆14Updated 2 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…☆64Updated 8 months ago
- Automatic optimal sequential investment decisions. Forecasts made using advanced stochastic processes with Monte Carlo simulation. Depend…☆22Updated last year
- Run hierarchical risk parity algorithms☆50Updated last week
- Source code for Deep Partial Least Squares for Empirical Asset Pricing.☆15Updated 3 years ago
- A python implementation of the fast-reversion Heston model of Mechkov [2015, https://goo.gl/2awbrV], for FX purposes.☆12Updated 7 years ago
- A portfolio optimization tool with scikit-learn interface. Hyperparameters selection and easy plotting of efficient frontiers.☆58Updated last year
- Bayer, Friz, Gulisashvili, Horvath, Stemper (2017). Short-time near-the-money skew in rough fractional volatility models.☆12Updated 8 years ago