entropy-pooling

There are 0 repository under entropy-pooling topic.

fortitudo.tech
fortitudo-tech / fortitudo.tech
Conditional Value-at-Risk (CVaR) portfolio optimization and Entropy Pooling views / stress-testing in Python.
cvar-optimization entropy-pooling asset-allocation asset-management portfolio-optimization mean-variance-optimization efficient-frontier investment-analysis portfolio-allocation portfolio-selection risk-adjusted-return markowitz-portfolio mathematical-finance investment-management investments portfolio-construction black-litterman cvar conditional-value-at-risk quantitative-finance
Language:Python 149
entropy-pooling
fortitudo-tech / entropy-pooling
Entropy Pooling in Python with a BSD 3-Clause license.
black-litterman entropy-pooling investment-analysis investments mathematical-finance portfolio-construction quantitative-finance asset-allocation asset-management bayesian conditional-value-at-risk cvar entropy investment-management market-views maximum-entropy portfolio-selection investment-risk fortitudo-tech
Language:Python 19
Reckziegel / FFP
Fully Flexible Probabilities for Stress-Testing and Portfolio Construction
entropy-pooling scenarios risk-management views flexible-probabilities bayesian-inference portolio-optimization
Language:R 11