portfolio-selection

Here are 17 public repositories matching this topic...

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

lequant40 / portfolio_allocation_js

Star

A JavaScript library to allocate and optimize financial portfolios.

clustering linear-programming portfolio-optimization quantitative-finance smo optimization-algorithms quadratic-programming convex-optimization fista portfolio-selection correlation-matrix portfolio-allocation markowitz risk-parity risk-budgeting critical-line-algorithm index-tracking equal-risk-contributions

Updated Mar 3, 2023
JavaScript

fortitudo-tech / entropy-pooling

Star

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

jiahaoli57 / LSRE-CAAN

Star

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.

reinforcement-learning transformer portfolio-selection portfolio-management online-portfolio-selection

Updated Jul 8, 2023
Python

shayandavoodii / OnlinePortfolioSelection.jl

Star

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

finance julia portfolio-selection algorithm-trading online-portfolio-selection

Updated Nov 4, 2024
Julia

alfredholmes / Crypocurrency-Portfolio-Management

Star

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

portfolio portfolio-selection reversion pamr mamr-algorithm

Updated Feb 19, 2023
Python

etccapital / Survey_PortfolioSelection

Star

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…

machine-learning portfolio-selection comprehensive-survey quantitative-portfolio-managers

Updated Dec 8, 2022
Python

dongheechoi / ai-portfolio-selection

Star

Artificial Intelligence (AI) based Portfolio Selection Papers

finance deep-learning artificial-intelligence fintech awesome-list portfolio-selection paper-list

Updated Aug 19, 2024

etccapital / Equity_Research

Star

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…

portfolio-selection

Updated May 22, 2023
Jupyter Notebook

jiahaoli57 / CAEGc

Star

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.

portfolio-selection portfolio-management online-portfolio-selection transaction-costs

Updated Sep 5, 2023
MATLAB

thiago-os / singlesort

Star

Historical performance of single-sort investment strategies.

asset-pricing portfolio-selection systematic-trading-strategies quantitative-strategy

Updated Sep 27, 2021
Jupyter Notebook

jaydu1 / CVaR-Portfolio

Star

CVaR Portfolio Optimization in High Dimensions

portfolio-selection high-dimensionality cvar-optimization

Updated May 14, 2022
Python

arnaud-schuele / complex-networks-approaches-for-portfolio-optimization

Star

networkx graph-theory complex-networks portfolio-optimization minimum-spanning-trees portfolio-selection multilayer-networks dynamic-networks pathpy

Updated Jul 10, 2022
Jupyter Notebook

jiahaoli57 / AIEG

Star

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

quantitative-finance portfolio-selection portfolio-management