A JavaScript library to allocate and optimize financial portfolios.

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

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

Implementation and tests of MAMR and PAMR active portfolio management for binance cryptocurrency assets.

This package offers both traditional benchmark and newly developed Online Portfolio Selection (OPS) algorithms implementation.

Jiahao Li, Yong Zhang, Xingyu Yang, and Liangwei Chen. "Online portfolio management via deep reinforcement learning with high-frequency data" Information Processing & Management, 2023, 60(3): 103247.

Online portfolio selection is a fundamental problem in computational finance, which has been extensively studied across several research communities, including finance, statistics, artificial intelligence, machine learning, and data mining, etc. This article aims to provide a comprehensive survey and a structural understanding of published online p…

This depository contains ETC equity reports derived from macroeconomic, industry-level analysis and fundamental research. It is mainly used as the equity component of the ETC Academy portfolio and benchmark stock pool for later stock selection algorithms and managed portfolios in the ETC student fund. Starting from the third quarter of 2020, the…

Historical performance of single-sort investment strategies.

CVaR Portfolio Optimization in High Dimensions

Yong Zhang, Jiahao Li, Xingyu Yang, and Hong Lin. "Aggregating exponential gradient expert advice for online portfolio selection under transaction costs" Journal of the Operational Research Society, , 2023, 74(8): 1940-1953.

Yong Zhang, Jiahao Li, Xingyu Yang, and Jianliang Zhang. "Competitive online strategy based on improved exponential gradient expert and aggregating method" Computational Economics, 2023.

Here is the pre-released code for the FTGCN-based quantile and mean models in our paper "Big portfolio selection by graph-based conditional moments method"

Implementing various portfolio selection strategies

R project in Google Summer of Code 2017 -- Bayesian Hierarchical Models in Finance (Student Application)