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Portfolio Optimization and Quantitative Strategic Asset Allocation in Python
cvxpy
finance
trading
investment
risk-parity
risk-factors
sharpe-ratio
drawdown-model
asset-allocation
cvar-optimization
duration-matching
risk-contribution
efficient-frontier
convex-optimization
investment-analysis
stepwise-regression
portfolio-management
quantitative-finance
portfolio-optimization
principal-components-regression
Created
2020-03-02
354 commits to master branch, last one about a month ago
Python library for portfolio optimization built on top of scikit-learn
Created
2023-12-14
155 commits to main branch, last one about a month ago
Entropy Pooling views and stress-testing combined with Conditional Value-at-Risk (CVaR) portfolio optimization in Python.
cvar
investments
black-litterman
entropy-pooling
asset-allocation
asset-management
cvar-optimization
efficient-frontier
investment-analysis
markowitz-portfolio
portfolio-selection
mathematical-finance
portfolio-allocation
quantitative-finance
risk-adjusted-return
investment-management
portfolio-construction
portfolio-optimization
conditional-value-at-risk
mean-variance-optimization
Created
2021-10-14
82 commits to main branch, last one about a month ago
Financial Portfolio Optimization Algorithms
finance
universal
gini-index
kelly-criterion
mv-optimization
sd-optimization
lsd-optimization
mad-optimization
btad-optimization
btsd-optimization
cvar-optimization
evar-optimization
gini-optimization
smcr-optimization
omega-optimization
universal-portfolio
quantitative-finance
sortino-optimization
portfolio-optimization
Created
2021-06-04
62 commits to main branch, last one 5 months ago