HKUST Convex Optimization in Finance Group

riskparity.py

Fast and scalable construction of risk parity portfolios

spectralGraphTopology

Structured Graph Learning via Laplacian Spectral Constraints (NeurIPS 2019)

fingraph

Graphical Models in Heavy-Tailed Markets (NeurIPS 2021)

fitHeavyTail

Mean and Covariance Matrix Estimation under Heavy Tails

intradayModel

Modeling of intraday volatility and volume in financial markets

sparseGraph

Nonconvex Sparse Graph Learning under Laplacian-structured Graphical Model (NeurIPS 2020)

bipartite

Learning Bipartite Graphs: Heavy Tails and Multiple Components (NeurIPS 2022)

riskparity.rs

Implementations of risk parity portfolios in Rust

.github