juliansester / Robust-Portfolio-OptimizationLinks
Markov decision processes under model uncertainty
☆17Updated 3 years ago
Alternatives and similar repositories for Robust-Portfolio-Optimization
Users that are interested in Robust-Portfolio-Optimization are comparing it to the libraries listed below
Sorting:
- This notebook presents an example of the equal risk pricing framework with deep hedging from my paper Carbonneau, A. and Godin, F. (2020)…☆15Updated 4 years ago
- Code for Undergraduate Dissertation; Exploration of Discrete Time Mean-Variance Hedging strategies 📈☆16Updated 4 years ago
- Mean-Variance Optimization using DL (pytorch)☆32Updated 3 years ago
- Code to support my Master's thesis☆22Updated 2 years ago
- PyTorch autoencoder implementation of asset pricing model using monthly returns/metrics☆52Updated 5 years ago
- Transformer and MultiTransformer layers for stock volatility forecasting purposes☆73Updated 4 years ago
- LeonardoBerti00 / Data-Normalization-for-Bilinear-Structures-in-High-Frequency-Financial-Time-series-BiN-TABLPytorch implementation of BIN-TABL from Data Normalization for Bilinear Structures in HF Financial Time-series☆13Updated last year
- This is a non-official implementation of the trend labeling method proposed in the paper "A Labeling Method for Financial Time Series Pre…☆49Updated 11 months ago
- Deep Neural Network Framework Based on Backward Stochastic Differential Equations for Pricing and Hedging American Options in High Dimens…☆21Updated 5 years ago
- ☆16Updated 4 years ago
- Quant finance scripts☆16Updated 8 months ago
- ☆19Updated 8 years ago
- This repository represents work in progress for the Worldquant University Capstone Project titled: Asset Portfolio Management using Deep …☆87Updated 3 years ago
- The repository contains the code for project for DS 5500 course at Northeastern.☆36Updated 6 years ago
- Attribution and optimisation using a multi-factor equity risk model.☆35Updated last year
- Option hedging strategies are investigated using two reinforcement learning algorithms: deep Q network and deep deterministic policy grad…☆21Updated 6 years ago
- Explore TESLA stock price (time-series) using ARIMA & GARCH model.☆20Updated 4 years ago
- ☆37Updated last year
- Deep Reinforcement Learning for Portfolio Optimization☆129Updated 5 years ago
- Stock Price Prediction☆19Updated last year
- ☆15Updated 3 years ago
- ☆28Updated 2 years ago
- TensorFlow implementation of the HARNet model for realized volatility forecasting.☆28Updated 2 years ago
- ☆14Updated 5 years ago
- Using Python and Tushare financial database☆29Updated last year
- A modification of traditional random forest for time-series forecasting☆12Updated last year
- ☆22Updated last year
- Source code for Deep Fundamental Factor Models, https://arxiv.org/abs/1903.07677☆65Updated 3 years ago
- A 50ETF Option Volatility Arbitrage Strategy Based on SABR Model☆25Updated 2 years ago
- My codework for my economics undergraduate thesis titled "Empirical Asset Pricing via Deep Learning"☆50Updated 5 years ago