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

Mean Variance (Markowitz) Portfolio Optimization and Beyond

Mean-Variance Optimization using DL (pytorch)

Open-source investment analytics platform bridging academic research and retail finance. Features include portfolio risk decomposition [Fama-French Five Factor Model], retirement sustainability modeling [Block Bootstrap Monte Carlo], max drawdown/CVaR dashboards, and risk-return optimisation [Markowitz, Ledoit-Wolf] via an intuitive user interface.

Assets' Risk Management Using Mean-Variance Opt Based On Mult-Factors Trending Prediction

Enhanced Portfolio Optimization (EPO)

DRIP Asset Allocation is a collection of model libraries for MPT framework, Black Litterman Strategy Incorporator, Holdings Constraint, and Transaction Costs.

A MATLAB Realisation of Regime Switching Asset Allocation Strategy

Cross asset allocation with mean-variance and mean-CVaR (Expected Shortfall) optimization methods

Streamlit app to simulate/optimize different portfolio allocations based on mathematical methods.

Flexible Python library for asset allocation and investor view integration

Machine Learning portfolio optimization on CAC40: XGBoost , RSI clustering, Sharpe maximization. Python/scikit-learn/PyPortfolioOpt

This repository of codes includes in the R and Python programs used in the six chapters of my published book titled "Analysis and Forecasting of Financial Time Series: Selected Cases". The book is published by Cambridge Scholars Publishing, New Casle upon Tyne, United Kindoam, in 2022.

Using Monte-Carlo simulation in order to find the optimal portfolio weights according to several criteras (Sharpe ratio, max drawdown, mean-variance).

Portfolio optimization : Markowitz's mean-variance optimization technique using Pyportfolioopt package.

Optimizing equities portfolios using Mean-Variance Optimization, Robust Mean-Variance Optimization, Risk-Parity (ERC), and One-Fund Theorem

Selecting and optimizing portfolios involving FTSE 100 top 10 stocks. Comparison of each strategy performance over time with rolling statistics and tail risk metrics.

This code tests the basic idea of my Master thesis. I propose an improved estimator of the covariance matrix of asset returns, employed in the computation of the minimum-variance portfolio. The main.py script tests the out-of-sample performance of this estimator, which is shown to deliver much better results than the sample covariance matrix and…