I'm Dany from Peru 🇵🇪, I studied economic engineering and I have a master in finance. I learned to programming by myself because I like to applied finance theory to real problems. My hobbies are workout at home, play video games, listen metal music, read about quantitative finance and programming applied to finance.
- Riskfolio-Lib: a python library for quantitative portfolio optimization.
- Riskfolio.jl: is a julia version of Riskfolio-Lib, now is in development. It is my excuse to learn Julia.
- Financioneroncios: my personal blog where I share python examples applied to finance, mostly in my native language (spanish).
If you have a question about my projects, want to talk about quantitative finance or a related topic, want to hire my services, have a job opportunity for me or have an interested project you think we can colaborate, you can contact me through:
If you want to fund my open-source work and help to keep to maintain and update Riskfolio, you can help me through the following links:
I'm not an academic but I wrote eight working papers based on the mathematics that I needed to build Riskfolio-Lib:
- A Graph Theory Approach to Portfolio Optimization Part II: shows a how to incorporate the information from dendrogram's cluster into the portfolio optimization process.
- A Graph Theory Approach to Portfolio Optimization: shows a how to incorporate the information about the centrality and neighborhood of graphs into the portfolio optimization process.
- Portfolio Optimization of Brownian Distance Variance: shows a convex formulation of the optimization of brownian distance variance.
- On the Spectral Decomposition of Portfolio Skewness and its Application to Portfolio Optimization: shows how to split portfolio skewness into positive skewness and negative skewness, and how we can approximate the minimization of negative skewness as a quadratic problem.
- Approximation of Portfolio Kurtosis through Sum of Squared Quadratic Forms: shows a convex formulation of the optimization of an approximation of portfolio kurtosis based on a reformulation of kurtosis as a sum of squared quadratic forms.
- Higher Order Moment Portfolio Optimization with L-Moments: shows an alternative way to optimize skewness and kurtosis using a convex formulation based on the OWA portfolio model and L-moments like L-skewness and L-kurtosis.
- Portfolio Optimization of Relativistic Value at Risk: shows a generalization of Entropic Value at Risk based on Kaniadakis entropy. Allows to optimize the Relativistic Value at Risk and Relativistic Drawdown at Risk using softwares that supports disciplined convex programming rules.
- Convex Optimization of Portfolio Kurtosis: shows a convex formulation of the optimization of portfolio kurtosis based on semidefinite and second order cone programming.
- OWA Portfolio Optimization: A Disciplined Convex Programming Framework: shows a generalization of linear risk measures based on the ordered weighted average (OWA) operator. Allows to optimize all linear risk measures using the same formulation only changing the weight parameter of the OWA operator.
- Kelly Portfolio Optimization: a Disciplined Convex Programming Framework: shows a generalization of Kelly criterion that allows us to built Logarithmic Mean Risk Optimal Portfolios.
- Entropic Portfolio Optimization: a Disciplined Convex Programming Framework: shows a discretization of Entropic Value at Risk and Entropic Drawdown at Risk that allows us to use softwares that supports disciplined convex programming rules.
- Robust Portfolio Selection with Near Optimal Centering: shows a method that allows to increase robustness and diversification of portfolios.