Stanford University Convex Optimization Group

cvxportfolio

Portfolio optimization and back-testing.

scs

Splitting Conic Solver

cvx_short_course

Materials for a short course on convex optimization.

CVXR

An R modeling language for convex optimization problems.

cvxpygen

Code generation with CVXPY

signal-decomposition

A simple and general framework for signal decomposition

cov_pred_finance

simulator

Tool to support backtests

cptopt

Portfolio Optimization with Cumulative Prospect Theory Utility via Convex Optimization

dsp

A CVXPY extension for saddle problems

exp_util_gm_portfolio_opt

Minimal entropic value at risk (EVaR) portfolio construction under a Gaussian mixture model of returns.

cvxstatarb

cvxmarkowitz

markowitz-reference

This repository contains a reference implementation of the Markowitz portfolio optimization problem discussed in the paper Markowitz Portfolio Construction at Seventy.

robust_bond_portfolio

Robust Bond Portfolio Construction via Convex-Concave Saddle Point Optimization

torch_linops

A library to define abstract linear operators, and associated algebra and matrix-free algorithms, that works with pyTorch Tensors.

cvxcla

critical line algorithm for efficient frontier

qss

QSS: Quadratic-Separable Solver

cvxrisk

Compile risk with cvxpy

spcqe

Smooth periodic consistent quantile estimation

cvxbson

dealing with json and bson files

cvxcli

Example cli using fire, poetry and pipx

ewmm_code

Code for the EWMM paper

pv_bundt_cake

Code reproducing results of the paper "Time Dilated Bundt Cake Analysis of PV Output"

smooth_multiperiodic_forecasting_experiments

Notebook accompanying numerical results section of the paper "Interpretable Net Load Forecasting Using Smooth Multiperiodic Features".

boilerplate

We use this repo to automate and avoid boilerplate issue

cvx-finance-examples

.github

Reusable workflows for cvxgrp

lr_distributed_routing

Approximate Distributed Routing via Low Dimensional Embedding

multilevel_factor_model

Fitting multilevel factor model