HKUST Convex Optimization in Finance Group

.github

bipartite

Learning Bipartite Graphs: Heavy Tails and Multiple Components (NeurIPS 2022)

fingraph

Graphical Models in Heavy-Tailed Markets (NeurIPS 2021)

fitHeavyTail

Mean and Covariance Matrix Estimation under Heavy Tails

intradayModel

Modeling of intraday volatility and volume in financial markets

riskparity.py

Fast and scalable construction of risk parity portfolios

riskparity.rs

Implementations of risk parity portfolios in Rust

sparseGraph

Nonconvex Sparse Graph Learning under Laplacian-structured Graphical Model (NeurIPS 2020)

spectralGraphTopology

Structured Graph Learning via Laplacian Spectral Constraints (NeurIPS 2019)

convexfi/riskparity.py

Fast and scalable construction of risk parity portfolios

convexfi/spectralGraphTopology

Structured Graph Learning via Laplacian Spectral Constraints (NeurIPS 2019)

convexfi/fingraph

Graphical Models in Heavy-Tailed Markets (NeurIPS 2021)

convexfi/fitHeavyTail

Mean and Covariance Matrix Estimation under Heavy Tails

convexfi/intradayModel

Modeling of intraday volatility and volume in financial markets

convexfi/sparseGraph

Nonconvex Sparse Graph Learning under Laplacian-structured Graphical Model (NeurIPS 2020)

convexfi/bipartite

Learning Bipartite Graphs: Heavy Tails and Multiple Components (NeurIPS 2022)

convexfi/riskparity.rs

Implementations of risk parity portfolios in Rust

convexfi/.github