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

Other Publications Year : 2016

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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Antonello Lobianco

Function : Author
PersonId : 968799

Laboratoire d'Economie Forestière

Keywords

Investment Decision Mathematic

Domains

Economics and Finance

David Gasparotto : Connect in order to contact the contributor

https://hal-agroparistech.archives-ouvertes.fr/hal-01590628

Submitted on : Tuesday, September 19, 2017-6:31:51 PM

Last modification on : Wednesday, April 19, 2023-11:42:08 AM

Dates and versions

hal-01590628 , version 1 (19-09-2017)

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HAL Id : hal-01590628 , version 1

Cite

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. 2016, https://sourceforge.net/projects/portopt/. ⟨hal-01590628⟩

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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