cpz-quant
Last released
Quantitative portfolio optimization, risk analytics, and anti-overfitting strategy certification in Python: mean-variance, HRP, HERC, NCO, Black-Litterman, entropy pooling, CVaR, robust and cardinality-constrained convex optimization, covariance shrinkage and denoising, walk-forward and combinatorial purged cross-validation, Probability of Backtest Overfitting, Deflated Sharpe Ratio, and vectorised technical indicators.
