Stanford University Convex Optimization Group
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- Stanford, CA
- http://www.stanford.edu/~boyd
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- markowitz-reference Public
This repository contains a reference implementation of the Markowitz portfolio optimization problem discussed in the paper Markowitz Portfolio Construction at Seventy.
- exp_util_gm_portfolio_opt Public
Minimal entropic value at risk (EVaR) portfolio construction under a Gaussian mixture model of returns.
- cov_pred_finance Public
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