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lakshmiDRIP / DROP-Asset-Allocation

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DRIP Asset Allocation is a collection of model libraries for MPT framework, Black Litterman Strategy Incorporator, Holdings Constraint, and Transaction Costs.

java drip asset-allocation portfolio-construction optimal-execution drip-asset-allocation black-litterman constrained-portfolio-optimization factor-models idzorek almgren-chriss optimal-transaction transaction-cost optimal-dynamic-portfolio multi-period-portfolio-optimization stochastic-liquidity-volatility market-impact-models principal-program-trades mean-variance-optimization
  • Updated Sep 26, 2018
  • CSS

lakshmiDRIP / DROP-Numerical-Optimizer

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DRIP Numerical Optimizer is a collection of Java libraries for Numerical Optimization and Spline Functionality.

java constrained-optimization gradient-descent drip convex-optimization branch-and-bound numerical-optimizer root-search polynomial-search lagrange-multipliers karush-kuhn-tucker equality-inequality-constraints interior-point-method numerical-convergence-stability b-spline tension-spline shape-preserving-spline smoothening-spline spline-jacobian pchip-polynomial-spline
  • Updated Sep 26, 2018
  • CSS

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