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Projects in Awesome Lists tagged with conditional-value-at-risk

A curated list of projects in awesome lists tagged with conditional-value-at-risk .

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https://github.com/fortitudo-tech/fortitudo.tech

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

asset-allocation asset-management black-litterman conditional-value-at-risk cvar cvar-optimization efficient-frontier entropy-pooling investment-analysis investment-management investments markowitz-portfolio mathematical-finance mean-variance-optimization portfolio-allocation portfolio-construction portfolio-optimization portfolio-selection quantitative-finance risk-adjusted-return

Last synced: 15 Nov 2024

https://github.com/jaantollander/conditionalvalueatrisk

Provides a concrete Julia implementation for computing the conditional value-at-risk (aka expected shortfall) for discrete probability distributions. Also works as a pseudocode for other languages.

coherent-risk-measure conditional-value-at-risk expected-shortfall risk-measure

Last synced: 07 Nov 2024