https://github.com/nicholasjng/portfolio-optim
University project on Portfolio Optimization
https://github.com/nicholasjng/portfolio-optim
Last synced: 2 months ago
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University project on Portfolio Optimization
- Host: GitHub
- URL: https://github.com/nicholasjng/portfolio-optim
- Owner: nicholasjng
- Created: 2019-08-18T19:31:31.000Z (almost 6 years ago)
- Default Branch: master
- Last Pushed: 2019-11-05T11:03:44.000Z (over 5 years ago)
- Last Synced: 2025-01-20T18:11:50.839Z (4 months ago)
- Language: Jupyter Notebook
- Size: 15.7 MB
- Stars: 0
- Watchers: 1
- Forks: 0
- Open Issues: 0
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Metadata Files:
- Readme: README.md
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README
# portfolio-optim
University project on Portfolio Optimization using Linear Programming and Gurobi.
The objective was to investigate various algorithms for optimizing a portfolio of financial assets with respect to a risk measure.
My part was optimizing the [Conditional Value-at-Risk (CVaR)](https://en.wikipedia.org/wiki/Expected_shortfall), also called Expected Shortfall, using Linear Programming.
Running this notebook requires a valid Gurobi license and the Gurobipy interface. For installing Gurobipy via Anaconda, use
```
conda config --add channels http://conda.anaconda.org/gurobi
conda install gurobi
```