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

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

Antonello Lobianco ¹

1 LEF - Laboratoire d'Economie Forestière

Keywords : Investment Decision Mathematic

Document type :

Other publications

Domain :

Humanities and Social Sciences / Economies and finances

Complete list of metadatas

https://hal-agroparistech.archives-ouvertes.fr/hal-01590628
Contributor : David Gasparotto <>
Submitted on : Tuesday, September 19, 2017 - 6:31:51 PM
Last modification on : Friday, July 27, 2018 - 3:00:45 PM

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], 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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80

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