ffp - Fully Flexible Probabilities for Stress Testing and Portfolio Construction

Implements numerical entropy-pooling for portfolio construction and scenario analysis as described in Meucci, Attilio (2008) and Meucci, Attilio (2010) <doi:10.2139/ssrn.1696802>.

Last updated 3 years ago

bayesian-inferenceentropy-poolingflexible-probabilitiesportolio-optimizationrisk-managementscenariosviews

5.71 score 16 stars 32 scripts 246 downloads

epo - Enhanced Portfolio Optimization (EPO)

Implements the Enhanced Portfolio Optimization (EPO) method as described in Pedersen, Babu and Levine (2021) <doi:10.2139/ssrn.3530390>.

Last updated 1 years ago

bayesian-optimizationblack-littermanmean-variance-optimizationprincipal-component-analysisrobust-optimization

3.74 score 11 stars 4 scripts 193 downloads

uncorbets - Uncorrelated Bets via Minimum Torsion Algorithm

Implements Minimum Torsion for portfolio diversification as described in Meucci, Attilio (2013) <doi:10.2139/ssrn.2276632>.

Last updated 1 years ago

3.54 score 7 stars 5 scripts 147 downloads