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entropy-pooling

Here are 3 public repositories matching this topic...

fortitudo.tech

fortitudo-tech / fortitudo.tech

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 Nov 7, 2024
Python

entropy-pooling

fortitudo-tech / entropy-pooling

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

entropy investments bayesian quantitative-finance mathematical-finance asset-allocation portfolio-construction black-litterman maximum-entropy portfolio-selection asset-management investment-analysis investment-management cvar conditional-value-at-risk entropy-pooling market-views investment-risk fortitudo-tech

Updated Oct 15, 2024
Python

Reckziegel / FFP

Fully Flexible Probabilities for Stress-Testing and Portfolio Construction

views bayesian-inference scenarios risk-management entropy-pooling flexible-probabilities portolio-optimization

Updated Sep 29, 2022
R

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