GitHub / vengveng / Portfolio-Construction-With-Gaussian-Mixture-Models
Reproducibility repository for "Portfolio Construction with Gaussian Mixture Models" thesis. Complete implementation of 9 portfolio optimization strategies including novel KDE/GMM approaches, with C acceleration, multiple solvers (CVXPY/IPOPT/SciPy), and full backtesting framework. All figures/tables regenerable.
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PURL: pkg:github/vengveng/Portfolio-Construction-With-Gaussian-Mixture-Models
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Language: Jupyter Notebook
Size: 104 MB
Dependencies parsed at: Pending
Created at: 2 months ago
Updated at: about 1 month ago
Pushed at: about 1 month ago
Last synced at: about 1 month ago
Topics: backtesting, gaussian-mixture-models, kernel-density-estimation, mean-variance-optimization, portfolio-optimization, python, quantitative-finance, reproducible-research, risk-management, thesis-project