PortfolioOptimisers.jl

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References ​

  1. M. M. De Prado. Machine learning for asset managers (Cambridge University Press, 2020).

  2. V. A. Marčenko and L. A. Pastur. Distribution of eigenvalues for some sets of random matrices. Mathematics of the USSR-Sbornik 1, 457 (1967).

  3. G. P. Brinson and N. Fachler. Measuring non-US. equity portfolio performance. The Journal of Portfolio Management 11, 73–76 (1985).

  4. W.-M. Song, T. Di Matteo and T. Aste. Hierarchical information clustering by means of topologically embedded graphs. PloS one 7, e31929 (2012).

  5. W. Barfuss, G. P. Massara, T. Di Matteo and T. Aste. Parsimonious modeling with information filtering networks. Phys. Rev. E 94, 062306 (2016).

  6. D. Cajas. OWA portfolio optimization: A disciplined convex programming framework. Available at SSRN 3988927 (2021).

  7. D. Cajas. Efficient Gini Mean Difference and Tail Gini Portfolio Optimization based on P-Norms. Available at SSRN 4711326 (2024).

  8. D. Cajas. Higher order moment portfolio optimization with L-moments. Available at SSRN 4393155 (2023).

Contributors ​

Index ​