18 skills found
dcajasn / Riskfolio LibPortfolio Optimization and Quantitative Strategic Asset Allocation in Python
skfolio / SkfolioPython library for portfolio optimization built on top of scikit-learn
fortitudo-tech / Fortitudo.techEntropy Pooling views and stress-testing combined with Conditional Value-at-Risk (CVaR) portfolio optimization in Python.
fortitudo-tech / Pcrm BookPortfolio Construction and Risk Management book's Python code.
linfengYang / A Novel DRO Model For Self Scheduling ProblemThis study is using distributionally robust optimization (DRO) algorithm with conditional value-at-risk (CVaR) to solve self-scheduling problem to obtain a suitable and adjustable self-scheduling strategy
Mircea-MMXXI / AzapyFinancial Portfolio Optimization Algorithms
GustavoAlovisi / Cvar Portfolio OptimARMA-GARCH Mixture Copula Mean-CVaR portfolio optimization project.
dcelisgarza / PortfolioOptimisers.jlPortfolio Optimisation library built in Julia.
fortitudo-tech / Cvar Optimization BenchmarksConditional Value-at-Risk (CVaR) portfolio optimization benchmark problems for fully general Monte Carlo distributions and derivatives portfolios.
stefan-woerner / Cvar Quantum OptimizationSupporting material for https://arxiv.org/abs/1907.04769
Energy-MAC / CVaR EconomicDispatchOptimization models to perform economic dispatch with CVaR calculations
EulersNumber / PortfolioAllocationCross asset allocation with mean-variance and mean-CVaR (Expected Shortfall) optimization methods
rafayk7 / CryptoPortfolioOptimizationA Portfolio Optimization tool made specifically for cryptocurrencies. Includes factor models, Robust and Non-Robust MVO + CVaR for crypto.
JordiCorbilla / RiskOptimaThe RiskOptima toolkit is a comprehensive Python solution designed to assist investors in evaluating, managing, and optimizing the risk of their investment portfolios. This package implements advanced financial metrics and models to compute key risk indicators, including Value at Risk (VaR), Conditional Value at Risk (CVaR), and volatility assessme
enexqnt / Py VAllocationFlexible Python library for asset allocation and investor view integration
Trip12 / Chris Fps// [2011-04-05] Major issues reported on some (NOT all) PCs when specifying mat_antialias directly. Try removing it if you have problems. // As an alternative, you can try adding +mat_antialias 1 to your launch options. // NOTE: If you experience crashes out of the blue, put all of the cvars in the threading section to "0". // --------------------------------------------------------------------------------------------------------------------------------- // Chris' maxframes config, designed to get you a large performance boost // v1.083 | 22 May 2011 | fakkelbrigade.eu/chris/configs/ // --------------------------------------------------------------------------------------------------------------------------------- // Problems or questions? Contact me at #christf2 on QuakeNet. // --------------------------------------------------------------------------------------------------------------------------------- // Some of the commands in here are redundant to others, they are failsafes for server-side variable locks. // // Launch options: // FOR FULLSCREEN: -dxlevel 81 -full -w WIDTH -h HEIGHT -console -novid -useforcedmparms -noforcemaccel -noforcemspd // FOR WINDOWED MODE: -dxlevel 81 -sw -w WIDTH -h HEIGHT -console -noborder -novid -useforcedmparms -noforcemaccel -noforcemspd // // --------------------------------------------------------------------------------------------------------------------------------- // CONFIG BEGINS // --------------------------------------------------------------------------------------------------------------------------------- sv_cheats "1" // To change vars that require a sv_cheats enabled server without error // --------------------------------------------------------------------------------------------------------------------------------- // SETTINGS THAT YOU MAY WISH TO CUSTOMISE // --------------------------------------------------------------------------------------------------------------------------------- // To uncomment a section, remove the // from all but the description line. // ------- // FPS CAP // ------- fps_max "121" // Caps fps to improve performance. The best value for this is freq * 2 + 1. Do not set lower than cl_cmdrate or you will experience hitreg issues. // ------------ // NET SETTINGS // ------------ // Net settings for good connections -- UNCOMMENT THIS SECTION IF YOU WANT THESE SETTINGS //cl_cmdrate "66" //cl_interp "0.016" // Change to 0.024 for hitscan //cl_interp_ratio "1" //cl_lagcompensation "1" //cl_pred_optimize "2" //cl_smooth "0" //cl_smoothtime "0.01" //cl_updaterate "66" //rate "60000" // Net settings for moderate or bad internet connections -- UNCOMMENT THIS SECTION IF YOU WANT THESE SETTINGS //cl_cmdrate "40" //cl_interp "0.025" // Change to 0.0375 for hitscan //cl_interp_ratio "1" //cl_lagcompensation "1" //cl_pred_optimize "2" //cl_smooth "0" //cl_smoothtime "0.01" //cl_updaterate "40" //rate "35000" // ------ // SPRAYS // ------ // Enable sprays -- not enabled by default cl_playerspraydisable "0" r_decals "200" r_spray_lifetime "2" // Disable sprays -- DELETE THIS SECTION IF YOU WANT SPRAYS ENABLED cl_playerspraydisable "1" r_decals "0" r_spray_lifetime "0" // ------- // SHADOWS // ------- // Enable shadows -- not enabled by default mat_shadowstate "1" r_shadowmaxrendered "11" r_shadowrendertotexture "0" // Set this to 1 for high definition shadows r_shadows "1" // Disable shadows -- DELETE THIS SECTION IF YOU WANT SHADOWS ENABLED mat_shadowstate "0" r_shadowmaxrendered "0" r_shadowrendertotexture "0" r_shadows "0" // --------------- // FACIAL FEATURES // --------------- // Enable facial features -- not enabled by default blink_duration "0.2" r_eyes "1" r_flex "1" r_lod "1" r_rootlod "1" r_teeth "1" flex_rules "1" flex_smooth "1" // Disable facial features -- DELETE THIS SECTION IF YOU WANT FACIAL FEATURES ENABLED blink_duration "0" r_eyes "0" r_flex "0" r_lod "2" r_rootlod "2" r_teeth "0" flex_rules "0" flex_smooth "0" // -------- // RAGDOLLS // -------- // Enable ragdolls -- not enabled by default cl_ragdoll_fade_time "15" cl_ragdoll_forcefade "0" cl_ragdoll_physics_enable "1" g_ragdoll_fadespeed "600" g_ragdoll_lvfadespeed "100" ragdoll_sleepaftertime "5.0f" // Disable ragdolls -- DELETE THIS SECTION IF YOU WANT RAGDOLLS ENABLED cl_ragdoll_fade_time "0" cl_ragdoll_forcefade "1" cl_ragdoll_physics_enable "0" g_ragdoll_fadespeed "0" g_ragdoll_lvfadespeed "0" ragdoll_sleepaftertime "0" // ---- // GIBS // ---- // Enable gibs -- not enabled by default cl_phys_props_enable "1" cl_phys_props_max "128" props_break_max_pieces "-1" r_propsmaxdist "1000" violence_ablood "1" violence_agibs "1" violence_hblood "1" violence_hgibs "1" // Disable gibs -- DELETE THIS SECTION IF YOU WANT GIBS ENABLED cl_phys_props_enable "0" cl_phys_props_max "0" props_break_max_pieces "0" r_propsmaxdist "1" violence_ablood "0" violence_agibs "0" violence_hblood "0" violence_hgibs "0" // --------------------------------------------------------------------------------------------------------------------------------- // END OF CUSTOMISATION // --------------------------------------------------------------------------------------------------------------------------------- // Cleaning up and stopping debug flooding adsp_debug "0" cl_clearhinthistory "1" cl_debugrumble "0" cl_rumblescale "0" mat_debugdepthval "0" mat_debugdepthvalmax "0" mat_debug_postprocessing_effects "0" // Graphical cl_burninggibs "0" cl_detaildist "0" cl_detailfade "0" cl_drawmonitors "0" cl_ejectbrass "0" cl_muzzleflash_dlight_1st "0" cl_ragdoll_collide "0" cl_show_splashes "0" func_break_max_pieces "0" glow_outline_effect_enable "0" lod_transitiondist "0" mat_aaquality "0" mat_alphacoverage "0" mat_antialias "1" mat_autoexposure_max "0" mat_autoexposure_min "0" mat_bloomscale "0" mat_bloom_scalefactor_scalar "0" mat_bumpmap "0" mat_colcorrection_disableentities "1" mat_colorcorrection "0" mat_compressedtextures "1" mat_disable_bloom "1" mat_disable_fancy_blending "1" mat_disable_lightwarp "1" mat_envmapsize "0" mat_envmaptgasize "0" mat_excludetextures "1" mat_fastnobump "0" mat_fastspecular "1" mat_filterlightmaps "0" mat_filtertextures "0" mat_forceaniso "0" mat_hdr_level "0" mat_max_worldmesh_vertices "0" mat_mipmaptextures "1" mat_monitorgamma "2.0" // Controls brightness, try 1.8 to get it brighter or 2.2 to get it darker. Only works in fullscreen. mat_motion_blur_enabled "0" mat_non_hdr_bloom_scalefactor "0" mat_parallaxmap "0" mat_picmip "2" mat_postprocess_x "0" mat_postprocess_y "0" mat_reducefillrate "1" mat_reduceparticles "1" mat_softwarelighting "0" mat_software_aa_blur_one_pixel_lines "0" mat_software_aa_strength "0" mat_software_aa_strength_vgui "0" mat_software_aa_tap_offset "0" mat_specular "0" // Set to 1 for shiny ubers mat_trilinear "0" mat_wateroverlaysize "0" mp_usehwmmodels "0" mp_usehwmvcds "0" muzzleflash_light "0" rope_averagelight "0" rope_collide "0" rope_rendersolid "0" rope_shake "0" rope_smooth "0" rope_smooth_enlarge "0" rope_smooth_maxalpha "0" rope_smooth_maxalphawidth "0" rope_smooth_minalpha "0" rope_smooth_minwidth "0" rope_solid_maxalpha "0" rope_solid_maxwidth "0" rope_solid_minalpha "0" rope_solid_minwidth "0" rope_subdiv "0" rope_wind_dist "0" r_3dsky "0" r_ambientboost "0" r_ambientfactor "0" r_ambientmin "0" r_avglight "0" r_bloomtintb "0" r_bloomtintexponent "0" r_bloomtintg "0" r_bloomtintr "0" r_cheapwaterend "1" r_cheapwaterstart "1" r_decalstaticprops "0" r_decal_cullsize "0" r_dopixelvisibility "0" r_drawbatchdecals "0" r_drawdetailprops "0" r_drawflecks "0" r_drawmodeldecals "0" r_drawspecificstaticprop "0" r_dynamic "0" r_eyemove "0" r_flashlightdepthtexture "0" r_flashlightrendermodels "0" r_flashlightrenderworld "0" r_forcewaterleaf "1" r_lightaverage "0" r_maxdlights "0" r_maxmodeldecal "0" r_maxnewsamples "0" r_maxsampledist "0" r_minnewsamples "0" r_physpropstaticlighting "0" r_pixelfog "0" r_radiosity "0" r_renderoverlayfragment "0" r_ropetranslucent "0" r_staticprop_lod "4" r_updaterefracttexture "0" r_visualizeproplightcaching "1" r_waterdrawreflection "0" r_waterdrawrefraction "1" r_waterforceexpensive "0" r_waterforcereflectentities "0" r_worldlights "0" tf_particles_disable_weather "1" // Set to 0 to enable weather effects on maps like Viaduct and Sawmill // Misc cl_predict "1" cl_predictweapons "1" cl_showfps "1" // Show unsmoothed FPS meter cl_showpluginmessages "0" // Performance cl_forcepreload "1" // Preloads maps, may cause a few seconds more loading the map at the benefit of a more consistent FPS (because the whole map is preloaded) cl_soundemitter_flush "1" //m_rawinput "1" // Uncomment to enable raw mouse input -- DO NOT ENABLE IF YOU ARE USING XFIRE OVERLAY mat_bufferprimitives "1" mat_clipz "1" // FX owners should set this to 0 mat_disablehwmorph "0" mat_disable_ps_patch "1" mat_forcehardwaresync "0" mat_forcemanagedtextureintohardware "0" mat_framebuffercopyoverlaysize "0" mat_levelflush "0" mat_maxframelatency "0" mat_postprocessing_combine "1" mat_vsync "0" r_fastzreject "-1" // Some ATI cards aren't autodetected, if you know that your card supports it, try setting it to 1. r_hunkalloclightmaps "0" r_lightcache_zbuffercache "0" r_occlusion "1" r_unloadlightmaps "0" soundscape_flush "1" // Sound dsp_enhance_stereo "0" dsp_slow_cpu "1" snd_async_fullyasync "1" // Can help stop freezes and sound looping snd_pitchquality "0" snd_spatialize_roundrobin "1" // Threading cl_threaded_bone_setup "0" cl_threaded_client_leaf_system "0" mat_queue_mode "-1" r_threaded_client_shadow_manager "1" r_threaded_particles "1" r_threaded_renderables "1" r_queued_decals "0" r_queued_post_processing "0" r_queued_ropes "1" sv_cheats "0" // Console printout clear echo "-------------------------------------------------------" echo " Chris' maxframes config loaded. " echo "-------------------------------------------------------" echo "Please direct all comments/queries/whatnot to" echo "#christf2 on QuakeNet." echo " " echo "-------------------------------------------------------" echo " Memory stats " echo "-------------------------------------------------------" memory echo " " echo "-------------------------------------------------------" echo " Code support " echo "-------------------------------------------------------" r_3dnow r_sse2 echo "-------------------------------------------------------"
GregDataMiner / Portfolio Optimization Project Using VaR And CVaRThis project focuses on optimizing a financial portfolio based on Value at Risk (VaR) and Conditional Value at Risk (CVaR), using Python. The approach explores two main strategies for portfolio selection : minimizing correlation between asset returnsmaximizing the Sharpe ratio for selected assets.
PyroQuant / Portfolio OptimizerThis Python script performs portfolio optimization based on different optimization criteria: 'sharpe', 'cvar', 'sortino', and 'variance'. The script uses historical stock price data downloaded from Yahoo Finance.
