Hi people, I'm Dany 👋

I'm Dany from Peru 🇵🇪, I studied economic engineering and I have a master in finance. I learned to programming by myself because I like to applied finance theory to real problems. My hobbies are workout at home, play video games, listen metal music, read about quantitative finance and programming applied to finance.

Projects

• Riskfolio-Lib: a python library for quantitative portfolio optimization.
• Riskfolio.jl: is a julia version of Riskfolio-Lib, now is in development. It is my excuse to learn Julia.
• Financioneroncios: my personal blog where I share python examples applied to finance, mostly in my native language (spanish).

Publications

I'm not an academic but I wrote three working papers based on the mathematics that I needed to build Riskfolio-Lib:

• Robust Portfolio Selection with Near Optimal Centering: is a method that allows to increase robustness and diversification of portfolios.
• Entropic Portfolio Optimization: a Disciplined Convex Programming Framework: is a discretization of Entropic Value at Risk and Entropic Drawdown at Risk that allows us to use softwares that supports disciplined convex programming.
• Kelly Portfolio Optimization: a Disciplined Convex Programming Framework: is a generalization of Kelly criterion that allows us to built Logarithmic Mean Risk Optimal Portfolios.

Contact me

If you have a question about my projects, want to talk about quantitative finance or a related topic, want to hire my services, have a job opportunity for me or have an interested project you think we can colaborate, you can contact me through:

• LinkedIn
• Gmail

If you want to fund my open-source work and help to keep to maintain and update Riskfolio, you can help me through the following links:

• Github Sponsorship

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