mdengler / cla
An Open-Source Implementation of the Critical-Line Algorithm for Portfolio Optimization
☆31Updated 2 years ago
Related projects ⓘ
Alternatives and complementary repositories for cla
- Hierarchical Risk Parity☆27Updated 4 years ago
- Implementation of Monte Carlo Optimization Selection from the paper "A Robust Estimator of the Efficient Frontier"☆55Updated last year
- A tool for combining historical data with user-provided forecasts to produce Kelly optimal portfolio allocations☆80Updated 3 years ago
- Devise: An Alternative Exchange Containing Assets Engineered To Help Fund Managers Hunt Alpha☆27Updated 6 years ago
- Python tools to quantitatively manage financial risk☆65Updated 4 years ago
- finance☆43Updated 7 years ago
- Eurex VSTOXX & Variance Advanced Services☆27Updated 8 years ago
- This repository contains supporting examples which are referenced from posts published on www.quantandfinancial.com☆125Updated 3 years ago
- This git repository is based on the work of J.Heaton, N.Polson and J.Witte and their articleDeep Learning for Finance: Deep Portfolios. …☆44Updated 6 years ago
- ☆27Updated 7 years ago
- Neural network local volatility with dupire formula☆72Updated 3 years ago
- FFT-based Option Pricing Methods in Python☆59Updated 6 years ago
- Source code for Deep Fundamental Factor Models, https://arxiv.org/abs/1903.07677☆61Updated 2 years ago
- Advances in Financial Machine Learning by Marcos Lopez De Prado☆53Updated 5 years ago
- A fundamental equity risk model that decomposes the risk of a portfolio by factors and individual securities☆34Updated 6 years ago
- Repository for teachings on Quant Finance☆48Updated 4 years ago
- A Python implementation of the rough Bergomi model.☆113Updated 6 years ago
- Pricing and Simulating in Python Zero Coupon Bonds with Vasicek and Cox Ingersoll Ross short term interest rate modes☆45Updated 4 years ago
- Bayesian models to compute performance and uncertainty of returns and alpha.☆106Updated last year
- archiving old code☆24Updated 6 years ago
- This module allows you to easily create order-based financial markets, add agents with various strategies, and evaluate the actions of ag…☆29Updated 2 years ago
- Probabilistic Sharpe Ratio example in Python (by Marcos López de Prado)☆120Updated 4 years ago
- A Python Package for Portfolio Optimization using the Critical Line Algorithm☆25Updated last year
- Unsupervised machine learning Principal Component Analysis (PCA) on the Dow Jones Industrial Average index and it's respective 30 stocks …☆68Updated 4 years ago
- Stochastic volatility models☆18Updated 5 years ago
- ☆44Updated 5 months ago
- Optimization techniques on the financial area for the hedging, investment starategies, and risk measures☆41Updated 4 years ago
- By means of stochastic volatility models☆41Updated 4 years ago