Entropy Pooling views and stress-testing combined with Conditional Value-at-Risk (CVaR) portfolio optimization in Python.
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Updated
Jul 8, 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.
Application to finance
One-week side project to play around stochastic optimization (how to take *good* decisions under uncertainty)
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.
A Stochastic Primal-Dual Proximal Splitting Method for Risk-Averse Optimal Control of PDEs
Essential techniques to assess financial risks
Monte Carlo Value-at-Risk | Conditional Value-at-Risk
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