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entropy-pooling
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Entropy Pooling views and stress-testing combined with Conditional Value-at-Risk (CVaR) portfolio optimization in Python.
entropyinvestmentsportfolio-optimizationquantitative-financeinvestmentmathematical-financeasset-allocationportfolio-constructionmean-variance-optimizationportfolio-selectionasset-managementportfolio-allocationinvestment-analysisefficient-frontierinvestment-managementcvarcvar-optimizationconditional-value-at-riskentropy-poolingrisk-adjusted-return
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Mar 11, 2025 - Python
Portfolio Construction and Risk Management book's Python code.
financesimulationriskquantinvestmentsportfolio-optimizationquantitative-financeinvestmentasset-allocationportfolio-constructionrisk-managementasset-managementinvestment-analysisefficient-frontierquantamentalcvarcvar-optimizationconditional-value-at-riskentropy-poolingrisk-adjusted-return
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Feb 5, 2025 - Jupyter Notebook
Entropy Pooling in Python with a BSD 3-Clause license.
entropyinvestmentsbayesianquantitative-financemathematical-financeasset-allocationportfolio-constructionblack-littermanmaximum-entropyportfolio-selectionasset-managementinvestment-analysisinvestment-managementcvarconditional-value-at-riskentropy-poolingmarket-viewsinvestment-riskfortitudo-tech
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Oct 15, 2024 - Python
Fully Flexible Probabilities for Stress-Testing and Portfolio Construction
viewsbayesian-inferencescenariosrisk-managemententropy-poolingflexible-probabilitiesportolio-optimization
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Sep 29, 2022 - R
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