Entropy Pooling views and stress-testing combined with Conditional Value-at-Risk (CVaR) portfolio optimization in Python.
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Updated
Jul 30, 2024 - Python
Entropy Pooling views and stress-testing combined with Conditional Value-at-Risk (CVaR) portfolio optimization in Python.
Entropy Pooling in Python with a BSD 3-Clause license.
One-week side project to play around stochastic optimization (how to take *good* decisions under uncertainty)
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