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cvar-optimization

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Riskfolio-Lib

dcajasn / Riskfolio-Lib

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Portfolio Optimization and Quantitative Strategic Asset Allocation in Python

finance trading portfolio-optimization sharpe-ratio quantitative-finance investment cvxpy convex-optimization asset-allocation stepwise-regression investment-analysis principal-components-regression risk-factors portfolio-management risk-parity efficient-frontier drawdown-model duration-matching cvar-optimization risk-contribution
  • Updated Apr 27, 2024
  • C++
fortitudo.tech

fortitudo-tech / fortitudo.tech

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

investments portfolio-optimization quantitative-finance mathematical-finance asset-allocation portfolio-construction black-litterman mean-variance-optimization portfolio-selection asset-management portfolio-allocation investment-analysis markowitz-portfolio efficient-frontier investment-management cvar cvar-optimization conditional-value-at-risk entropy-pooling risk-adjusted-return
  • Updated May 6, 2024
  • Python

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