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29

228

gpl-3.0

12

Entropy Pooling views and stress-testing combined with Conditional Value-at-Risk (CVaR) portfolio optimization in Python.

Created 2021-10-14

82 commits to main branch, last one about a month ago

31

175

mit

12

A JavaScript library to allocate and optimize financial portfolios.

smo fista markowitz clustering risk-parity index-tracking risk-budgeting correlation-matrix linear-programming convex-optimization portfolio-selection portfolio-allocation quantitative-finance quadratic-programming portfolio-optimization critical-line-algorithm optimization-algorithms equal-risk-contributions

Created 2017-06-09

87 commits to master branch, last one 2 years ago

11

31

bsd-3-clause

2

Entropy Pooling in Python with a BSD 3-Clause license.

cvar entropy bayesian investments market-views fortitudo-tech black-litterman entropy-pooling investment-risk maximum-entropy asset-allocation asset-management investment-analysis portfolio-selection mathematical-finance quantitative-finance investment-management portfolio-construction conditional-value-at-risk

Created 2024-01-07

23 commits to main branch, last one 2 months ago