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1. fortitudo.tech fortitudo.tech Public

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

   Python 296 54

2. pcrm-book pcrm-book Public

   Portfolio Construction and Risk Management book's Python code.

   Jupyter Notebook 188 55

3. entropy-pooling entropy-pooling Public

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

   Python 41 16

4. cvar-optimization-benchmarks cvar-optimization-benchmarks Public

   Conditional Value-at-Risk (CVaR) portfolio optimization benchmark problems for fully general Monte Carlo distributions and derivatives portfolios.

   Jupyter Notebook 12 6