Projects in Awesome Lists tagged with conditional-value-at-risk
A curated list of projects in awesome lists tagged with conditional-value-at-risk .
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: 08 May 2025
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: 19 Feb 2025
