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
5.90 score 21 stars 38 scripts 374 downloadsepo - Enhanced Portfolio Optimization (EPO)
Implements the Enhanced Portfolio Optimization (EPO) method of Pedersen, Babu and Levine (2021) <doi:10.1080/0015198X.2020.1854543>. EPO stabilizes mean-variance optimization by shrinking correlations toward zero, which addresses estimation error in both the risk model and expected returns. Both the "Simple EPO" and the "Anchored EPO" (an anchor/benchmark-aware, Black-Litterman-like extension) are provided.
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bayesian-optimizationblack-littermanmean-variance-optimizationprincipal-component-analysisrobust-optimization
3.95 score 18 stars 8 scripts 386 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 258 downloads