Conditional Value-at-Risk (CVaR) portfolio optimization and Entropy Pooling views / stress-testing in Python.

Financial pipeline for the data-driven investor to research, develop and deploy robust strategies. Big Data ingestion, risk factor modeling, stock screening, portfolio optimization, and broker API.

Mean Variance (Markowitz) Portfolio Optimization and Beyond

Portfolio Construction Functions under the Basic Mean_Variance Model, the Factor Model and the Black_Litterman Model.

'Portfolio Analysis, methods for portfolio optimization'

Entropy Pooling in Python with a BSD 3-Clause license.

This repository shows the application of PCA technique for risk factor modelling of financial securities.

A financial derivatives and portfolio analysis library for python

Master thesis project. The improved estimator of the covariance matrix of asset returns is employed to derive a new trading strategy based on a two-step procedure. First, it shrinks the asset universe via a subset selection, leaving only the most suitable assets. Then, it performs the mean-variance analysis. Back-testing is carried out in the U.…

Portfolio analysis toolkit

Automation of portfolio genreation with the help of pandas, xlsxwriter , matplotlib.

Small, fully customizable, fast search engine

Enhanced version of the Master thesis project. The original code has been enriched with a module that automatically downloads and stores new intraday data from Yahoo Finance, to serve as a real robo-advisor for investments. The code lets you choose between U.S. and European market, represented by stocks listed in the SP500 and STOXXE600 indices.

MMF 1921 Operations Research Project 2