Convex Optimization in Quantitative Finance

This code repository accompanies the Convex Optimization in Quantitative Finance slides.

Poetry

We manage dependencies through Poetry. Once you have installed poetry you can perform

make install

to replicate the virtual environment we have defined in pyproject.toml and locked in poetry.lock. To activate the virtual environment you can run

make activate

Marimo

All of our examples are provided as Marimo notebooks in the examples directory. To view a notebook you can run

marimo run examples/notebook.py

For example, to run the sparse inverse covariance estimation notebook you can run

marimo run examples/sparse-inverse-covariance.py

This displays the notebook as an app. Analogously, you can also run

marimo edit examples/notebook.py

This opens the notebook in an editor, and you can view and make changes to the notebook code.