dppalomar / pob
Supporting data package for the Portfolio Optimization Book
☆18Updated 2 months ago
Alternatives and similar repositories for pob:
Users that are interested in pob are comparing it to the libraries listed below
- Design of High-Order Portfolios via Mean, Variance, Skewness, and Kurtosis☆23Updated 2 years ago
- Mean and Covariance Matrix Estimation under Heavy Tails☆22Updated last year
- Covariance prediction via convex optimization☆21Updated 4 years ago
- Computation of Sparse Eigenvectors of a Matrix☆13Updated 6 years ago
- Portfolio Construction using Stratified Models☆11Updated 4 years ago
- Scalable implementation of Lee / Mykland (2012), Ait-Sahalia / Jacod (2012) and Ait-Sahalia / Jacod / Li (2012) Jump tests for noisy hig…☆14Updated 3 years ago
- ☆18Updated 4 years ago
- Compile risk with cvxpy☆13Updated this week
- Convex optimization over risk-neutral probabilities.☆15Updated 4 years ago
- Repository for the paper "BONE: a unifying framework for Bayesian online learning in non-stationary environments"☆17Updated 4 months ago
- Easy equilibrium analysis for linear demand and supply and other topics covered in an introductory undergraduate microeconomics course. T…☆21Updated 2 months ago
- Modeling of intraday volatility and volume in financial markets☆15Updated last year
- Code and examples for the project on risk-constrained Kelly gambling☆26Updated 4 years ago
- ☆26Updated 2 months ago
- Financial Strategy Resources☆15Updated 2 years ago
- Advanced Financial Econometrics - Trinity Term 2020☆28Updated 4 years ago
- R package for inference on the Sharpe ratio.☆19Updated 3 months ago
- Functions, examples and data from the first and the second edition of "Numerical Methods and Optimization in Finance" by M. Gilli, D. Mar…☆37Updated 3 weeks ago
- Minimal entropic value at risk (EVaR) portfolio construction under a Gaussian mixture model of returns.☆20Updated 11 months ago
- An R interface to the ITCH Protocol☆18Updated 7 months ago
- Implementation of "A deep solver for BSDEs with jumps"☆13Updated 5 months ago
- A Python Package for Portfolio Optimization using the Critical Line Algorithm☆26Updated last year
- ☆19Updated last month
- Code for Probabilistic Sequential Matrix Factorization☆15Updated 3 years ago
- Companion code for "Modern Computational Finance, volume 2: Scripting for Derivatives and XVA" (Antoine Savine & Jesper Andreasen, Wiley,…☆21Updated 4 years ago
- Some implementations from the paper robust risk aware reinforcement learning☆35Updated 3 years ago
- Loose collection of Jupyter notebooks, mostly for my blog☆28Updated 5 months ago
- This repository is for my master's project, A Survey of Deep Learning Architectures for Algorithmic Cryptocurrency Trading, delivered on …☆9Updated 2 years ago
- Bayesian Inference and parameter estimation in quant finance.☆42Updated 6 years ago
- The Economic Simulation Library provides an extensive collection of tools to develop, test, analyse and calibrate economic and financial…☆63Updated 2 years ago