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)

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

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

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…

making professional portfolio management methods accessible through point and click. methods such as mean var opt and portfolio rebalancing is available. try the app from the link

A mean-variance analysis of a portfolio of risky assets, visualising the Markowitz bullet and the efficient frontier. We also compare the performance of a randomly selected portfolio within the Markowitz bullet, with that of an efficient portfolio of the same variance.

Mean Variance Optimization for financial portfolio

Using Shiny for Python to visualize mean-variance portfolio optimization, using mean monthly returns.

investment portfolio optimization, mean-variance analysis