PortOpt [Portfolio Optimizer], a C++ program (with Python binding) implementing the Markowitz (1952) mean-variance model with agent's linear indifference curves toward risk in order to find the optimal assets portfolio under risk

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PortOpt [Portfolio Optimizer] is a C++ program (with Python binding) implementing the Markowitz(1.. 2016, https://sourceforge.net/projects/portopt/
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https://hal-agroparistech.archives-ouvertes.fr/hal-01590628
Contributeur : David Gasparotto <>
Soumis le : mardi 19 septembre 2017 - 18:31:51
Dernière modification le : vendredi 27 juillet 2018 - 15:00:45

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  • HAL Id : hal-01590628, version 1

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Antonello Lobianco. PortOpt [Portfolio Optimizer], a C++ program (with Python binding) implementing the Markowitz (1952) mean-variance model with agent's linear indifference curves toward risk in order to find the optimal assets portfolio under risk. PortOpt [Portfolio Optimizer] is a C++ program (with Python binding) implementing the Markowitz(1.. 2016, https://sourceforge.net/projects/portopt/. 〈hal-01590628〉

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