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

Type de document :

Autre publication

PortOpt [Portfolio Optimizer] is a C++ program (with Python binding) implementing the Markowitz(1.. 2016, https://sourceforge.net/projects/portopt/

Domaine :

Sciences de l'Homme et Société / Economies et finances

Liste complète des métadonnées

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

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

Identifiants

Collections

Citation

Exporter

Métriques

59

Contact

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

Identifiants

Collections

Citation

Exporter

Partager

Métriques

59

Contact