conditional-value-at-risk

There are 0 repository under conditional-value-at-risk topic.

• fortitudo.tech

  fortitudo-tech / fortitudo.tech

  Conditional Value-at-Risk (CVaR) portfolio optimization and Entropy Pooling views / stress-testing in Python.

  cvar-optimizationentropy-poolingasset-allocationasset-managementportfolio-optimizationmean-variance-optimizationefficient-frontierinvestment-analysisportfolio-allocationportfolio-selectionrisk-adjusted-returnmarkowitz-portfoliomathematical-financeinvestment-managementinvestmentsportfolio-constructionblack-littermancvarconditional-value-at-riskquantitative-finance
  Language:Python 137
• entropy-pooling

  fortitudo-tech / entropy-pooling

  Entropy Pooling in Python with a BSD 3-Clause license.

  black-littermanentropy-poolinginvestment-analysisinvestmentsmathematical-financeportfolio-constructionquantitative-financeasset-allocationasset-managementbayesianconditional-value-at-riskcvarentropyinvestment-managementmarket-viewsmaximum-entropyportfolio-selectioninvestment-riskfortitudo-tech
  Language:Python 15

• SachaIZADI / stochastic-optimization

  One-week side project to play around stochastic optimization (how to take *good* decisions under uncertainty)

  gurobilinear-programmingnewsvendor-problemstochastic-optimizationconditional-value-at-riskknapsack-problemmixed-integer-programmingrobust-optimizationvalue-at-risk
  Language:Python 11

• arunp77 / MonteCarlo-simulation

  Application to finance

  conditional-value-at-riskcredit-risk-analysismarket-risk-managementmonte-carlo-simulationpythonrisk-analysisvalue-at-riskfinancefinance-managementyfinanceyfinance-apiyfinance-library
  Language:Jupyter Notebook 10

• jaantollander / ConditionalValueAtRisk

  Provides a concrete Julia implementation for computing the conditional value-at-risk (aka expected shortfall) for discrete probability distributions. Also works as a pseudocode for other languages.

  conditional-value-at-riskrisk-measureexpected-shortfallcoherent-risk-measure
  Language:Julia 2

• sebastianangerhausen / SPDPS

  A Stochastic Primal-Dual Proximal Splitting Method for Risk-Averse Optimal Control of PDEs

  conditional-value-at-risknon-smooth-optimizationoptimal-controloptimizationpdesproximal-operatorrisk-aversestochastic-optimization
  Language:Julia 2

• vladislavpyatnitskiy / Risk-Management-Analytics

  Essential techniques to assess financial risks

  risk-analysisrisk-managementrisk-modellingmonte-carlo-simulationvalue-at-riskaltman-z-scoreconditional-value-at-riskcvarexpected-shortfallmvarportfolio-riskvarmulti-asset-value-at-riskrachev-ratioavarvariance-covariancehistorical-var
  Language:R 1