GitHub - iindyk/DrawdownPortfolioTheory: Inverse portfolio optimization with application in replication of an instrument.

iindyk / DrawdownPortfolioTheory Public

Inverse portfolio optimization with application in replication of an instrument.

Notifications

Name		Name	Last commit message	Last commit date
Latest commit History 49 Commits
.idea		.idea
venv		venv
data_parsers.py		data_parsers.py
indexes.txt		indexes.txt
main_optimization.py		main_optimization.py
maxdd_test.py		maxdd_test.py
optimality_approx_test.py		optimality_approx_test.py
optimality_approximation.py		optimality_approximation.py
toy_test.py		toy_test.py
utils.py		utils.py
y_opt.py		y_opt.py