EVaR optimization for portfolios using a primal-dual approach
收藏DataCite Commons2025-02-21 更新2025-04-15 收录
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https://data.goettingen-research-online.de/citation?persistentId=doi:10.25625/12EQ4T
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资源简介:
A Python implementation, that optimizes the Entropic Value-at-Risk (EVaR) of a portfolio for given historical data using a feasible primal-dual algorithm.
提供机构:
GRO.data
创建时间:
2025-02-21



