#Cvar
Showing 4 of 4 repositories tagged #cvar, ranked by stars
fortitudo-tech
fortitudo.tech
Entropy Pooling views and stress testing combined with Conditional Value-at-Risk (CVaR) portfolio optimization in Python.
Score
100
★ 301
⑂ 54
+3/day
Python
fortitudo-tech
pcrm-book
Portfolio Construction and Risk Management book's Python code.
Score
67
★ 197
⑂ 56
+1/day
Jupyter Notebook
fortitudo-tech
entropy-pooling
Entropy Pooling in Python with a BSD 3-Clause license.
Score
33
★ 41
⑂ 16
—
Python
fortitudo-tech
cvar-optimization-benchmarks
Conditional Value-at-Risk (CVaR) portfolio optimization benchmark problems for fully general Monte Carlo distributions and derivatives portfolios.
Score
0
★ 13
⑂ 6
+1/day
Jupyter Notebook