saitcakmak / BoRisk
Bayesian Optimization of Risk Measures
☆21Updated last year
Alternatives and similar repositories for BoRisk:
Users that are interested in BoRisk are comparing it to the libraries listed below
- Deep Optimal Stopping Project☆16Updated 5 years ago
- Some implementations from the paper robust risk aware reinforcement learning☆35Updated 3 years ago
- Minimal entropic value at risk (EVaR) portfolio construction under a Gaussian mixture model of returns.☆20Updated 10 months ago
- Python code to perform risk-sensitive Reinforcement Learning with dynamic convex risk measures☆20Updated last year
- Portfolio Construction using Stratified Models☆11Updated 4 years ago
- code for "Optimal Stopping via Randomized Neural Networks"☆52Updated 11 months ago
- ☆18Updated 4 years ago
- Portfolio Optimization with Cumulative Prospect Theory Utility via Convex Optimization☆33Updated 10 months ago
- Pytorch implementation of Deep Hedging, Utility Maximization and Portfolio Optimization☆13Updated 6 months ago
- Covariance prediction via convex optimization☆21Updated 4 years ago
- Bayer, Friz, Gassiat, Martin, Stemper (2017). A regularity structure for finance.☆10Updated 7 years ago
- ☆13Updated 5 years ago
- Large Deviations for volatility options☆13Updated 6 years ago
- JumpDiff: Non-parametric estimator for Jump-diffusion processes for Python☆44Updated 2 years ago
- Robust pricing and hedging via Neural SDEs☆32Updated 3 years ago
- End-to-end distributionally robust optimization☆34Updated last year
- Automatic optimal sequential investment decisions. Forecasts made using advanced stochastic processes with Monte Carlo simulation. Depend…☆20Updated last year
- Loose collection of Jupyter notebooks, mostly for my blog☆28Updated 4 months ago
- JAX-LOB: A GPU-Accelerated limit order book simulator to unlock large scale reinforcement learning for trading☆25Updated last year
- Democratizing Index Tracking for Small Investors in Europe: A Meta-Learning Method for Sparse Portfolio Optimization☆81Updated last year
- ☆19Updated 6 years ago
- Code and examples for the project on risk-constrained Kelly gambling☆26Updated 4 years ago
- ☆16Updated 2 months ago
- ☆10Updated 7 years ago
- Deep Learning methods to solve path-dependent PDEs / to price path-dependent derivatives like exotic options☆34Updated 3 years ago
- Estimation of the Covariance Matrix - linear and nonlinear shrinkage☆22Updated 2 years ago
- ☆26Updated last year
- Evaluation of Hybrid MODWT-MARS framework for financial time series forecasting☆18Updated 6 months ago
- Design of High-Order Portfolios via Mean, Variance, Skewness, and Kurtosis☆23Updated 2 years ago
- Python modules and jupyter notebook examples for the paper Arbitrage-free Neural-SDE Market Models.☆49Updated 2 years ago