dcelisgarza/PortfolioOptimisers.jl

Portfolio optimisation library for Julia. Over 50 risk measures (CVaR, EVaR, RLVaR, drawdown, OWA), hierarchical risk parity, HERC, nested clustered optimisation, risk budgeting, near-optimal centering, four Black-Litterman variants, entropy pooling, factor and high-order priors, denoising, and JuMP-backed convex and non-convex optimization.

语言：Julia · GitHub 星标：28 · Fork：2

话题：asset-allocation · asset-management · black-litterman · convex-optimization · covariance-estimation · cvar · efficient-frontier · entropy-pooling

在 GitHub 上查看原仓库