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 2 years ago

bayesian-inferenceentropy-poolingflexible-probabilitiesportolio-optimizationrisk-managementscenariosviews

5.68 score 15 stars 32 scripts 313 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 12 months ago

3.85 score 7 stars 5 scripts 204 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 12 months ago

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

3.70 score 10 stars 4 scripts 266 downloads