saitcakmak / BoRiskLinks
Bayesian Optimization of Risk Measures
☆21Updated 2 years ago
Alternatives and similar repositories for BoRisk
Users that are interested in BoRisk are comparing it to the libraries listed below
Sorting:
- Portfolio Optimization with Cumulative Prospect Theory Utility via Convex Optimization☆37Updated last year
- Minimal entropic value at risk (EVaR) portfolio construction under a Gaussian mixture model of returns.☆22Updated last year
- Some implementations from the paper robust risk aware reinforcement learning☆36Updated 4 years ago
- Automatic optimal sequential investment decisions. Forecasts made using advanced stochastic processes with Monte Carlo simulation. Depend…☆22Updated last year
- Python code to perform risk-sensitive Reinforcement Learning with dynamic convex risk measures☆23Updated last year
- End-to-end distributionally robust optimization☆37Updated 2 years ago
- ☆14Updated 6 years ago
- Robust Bond Portfolio Construction via Convex-Concave Saddle Point Optimization☆14Updated last year
- Python modules and jupyter notebook examples for the paper Arbitrage-free Neural-SDE Market Models.☆56Updated 3 years ago
- Design of High-Order Portfolios via Mean, Variance, Skewness, and Kurtosis☆26Updated 3 years ago
- Covariance prediction via convex optimization☆22Updated 4 years ago
- JumpDiff: Non-parametric estimator for Jump-diffusion processes for Python☆49Updated 2 years ago
- Pytorch implementation of Deep Hedging, Utility Maximization and Portfolio Optimization☆17Updated last year
- Python for Random Matrix Theory: cleaning schemes for noisy correlation matrices.☆76Updated 7 years ago
- Code and examples for the project on risk-constrained Kelly gambling☆28Updated 5 years ago
- Implementation of Feature Saliency Hidden Markov Model (Adams, et al, 2016)☆13Updated 3 years ago
- Source code for the AAAI 2019 paper "On-Line Learning of Linear Dynamical Systems: Exponential Forgetting in Kalman Filters" (https://arx…☆19Updated 4 years ago
- Deep Optimal Stopping Project☆15Updated 6 years ago
- ☆26Updated 5 years ago
- Economic models and things in Pytorch☆21Updated 8 years ago
- Robust pricing and hedging via Neural SDEs☆37Updated 4 years ago
- Monte Carlo Submission Examples☆17Updated last year
- Materials for "RL for Inventory Optimization", Day 4 of the "RL for Operations Bootcamp", Kellogg School of Management, Northwestern Univ…☆18Updated last year
- Option hedging strategies are investigated using two reinforcement learning algorithms: deep Q network and deep deterministic policy grad…☆21Updated 6 years ago
- Generative Adversarial Network to create synthetic time series☆23Updated 5 years ago
- ☆25Updated 2 years ago
- Loose collection of Jupyter notebooks, mostly for my blog☆28Updated last year
- JAX-LOB: A GPU-Accelerated limit order book simulator to unlock large scale reinforcement learning for trading☆37Updated 2 years ago
- ☆19Updated 5 years ago
- Evaluation of Hybrid MODWT-MARS framework for financial time series forecasting☆18Updated last year