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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
335 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
110 commits to main branch, last one 8 days ago
Fast and scalable construction of risk parity portfolios
Created
2019-07-13
157 commits to main branch, last one 17 days ago
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 about a year ago
Constrained and Unconstrained Risk Budgeting / Risk Parity Allocation in Python
Created
2018-06-15
67 commits to master branch, last one 2 years ago
Design of Risk Parity Portfolios
Created
2018-08-21
750 commits to master branch, last one about a year ago