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>.
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bayesian-inferenceentropy-poolingflexible-probabilitiesportolio-optimizationrisk-managementscenariosviews
5.81 score 20 stars 32 scripts 219 downloadsepo - Enhanced Portfolio Optimization (EPO)
Implements the Enhanced Portfolio Optimization (EPO) method as described in Pedersen, Babu and Levine (2021) <doi:10.2139/ssrn.3530390>.
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bayesian-optimizationblack-littermanmean-variance-optimizationprincipal-component-analysisrobust-optimization
3.95 score 18 stars 4 scripts 180 downloadsuncorbets - Uncorrelated Bets via Minimum Torsion Algorithm
Implements Minimum Torsion for portfolio diversification as described in Meucci, Attilio (2013) <doi:10.2139/ssrn.2276632>.
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3.60 score 8 stars 5 scripts 201 downloads