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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 Jan 8, 2025
  • C++
fortitudo.tech

fortitudo-tech / fortitudo.tech

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Entropy Pooling views and stress-testing combined with Conditional Value-at-Risk (CVaR) portfolio optimization 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 Jan 7, 2025
  • Python

JordiCorbilla / RiskOptima

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The RiskOptima toolkit is a comprehensive Python solution designed to assist investors in evaluating, managing, and optimizing the risk of their investment portfolios. This package implements advanced financial metrics and models to compute key risk indicators, including Value at Risk (VaR), Conditional Value at Risk (CVaR), and volatility assessme

monte-carlo portfolio-optimization risk-management var-optimization cvar-optimization
  • Updated Jan 6, 2025
  • Jupyter Notebook

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