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markowitz
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A JavaScript library to allocate and optimize financial portfolios.
clustering
linear-programming
portfolio-optimization
quantitative-finance
smo
optimization-algorithms
quadratic-programming
convex-optimization
fista
portfolio-selection
correlation-matrix
portfolio-allocation
markowitz
risk-parity
risk-budgeting
critical-line-algorithm
index-tracking
equal-risk-contributions
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Updated
Aug 3, 2020 - JavaScript
Markowitz portfolio optimization on synthetic and real stocks
python
stock-market
portfolio-optimization
cvxpy
convex-optimization
financial-engineering
markowitz
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Updated
Dec 20, 2017 - Python
A Java implementation of the VBA code for the Critical Line Algorithm in the book "Mean-Variance Analysis in Portfolio Choice and Capital Markets" by Harry M. Markowitz
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Updated
Jun 26, 2020 - Java
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Currently one cannot just do
-SomeLoss(). Of course it could be hacked by doing(-1) * SomeLoss(). We want to implement the first syntax via__sub__.