HKUST Convex Optimization in Finance Group's repositories
riskparity.py
Fast and scalable construction of risk parity portfolios
spectralGraphTopology
Structured Graph Learning via Laplacian Spectral Constraints (NeurIPS 2019)
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)
riskparity.rs
Implementations of risk parity portfolios in Rust
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