cvxgrp/exp_util_gm_portfolio_opt
Minimal entropic value at risk (EVaR) portfolio construction under a Gaussian mixture model of returns.
Python
Stargazers
- aktersnurraStockholm
- andrewrosemberg@invenia
- batterysnoopy
- davidrmh
- DonJon86
- knolog
- micropredictionIntech Investment Management, LLC
- NLeurekaSingapore
- pauldebdeep9
- phschieleStanford, CA
- rohitpandey13Kolkatta
- sanglinweiTsinghua University
- skiamuMilan
- skylinepro
- tschmStanford & Team Q @ ADIA
- vishalbelsare
- yuminlinscheTokyo Institute of Technology