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entropy-pooling

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fortitudo.tech

fortitudo-tech / fortitudo.tech

Star 308

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

entropy investments portfolio-optimization quantitative-finance investment mathematical-finance asset-allocation portfolio-construction mean-variance-optimization portfolio-selection asset-management portfolio-allocation investment-analysis efficient-frontier investment-management cvar cvar-optimization conditional-value-at-risk entropy-pooling risk-adjusted-return
  • Updated Aug 20, 2026
  • Python
PortfolioOptimisers.jl

dcelisgarza / PortfolioOptimisers.jl

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Star 21

Portfolio optimisation library for Julia. Over 50 risk measures (CVaR, EVaR, RLVaR, drawdown, OWA), hierarchical risk parity, HERC, nested clustered optimisation, risk budgeting, near-optimal centering, four Black-Litterman variants, entropy pooling, factor and high-order priors, denoising, and JuMP-backed convex and non-convex optimization.

machine-learning julia portfolio-optimization quantitative-finance convex-optimization asset-allocation black-litterman mean-variance-optimization asset-management covariance-estimation portfolio-management risk-parity risk-budgeting efficient-frontier portfolio-optimisation risk-measures cvar entropy-pooling hierarchical-risk-parity nested-clustered-optimization
  • Updated Sep 12, 2026
  • Julia

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