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 - AgroParisTech Accéder directement au contenu
Autre Publication Scientifique Année : 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

Antonello Lobianco
Laboratoire d'Economie Forestière

Domaines

Economies et finances

David Gasparotto  : Connectez-vous pour contacter le contributeur

https://agroparistech.hal.science/hal-01590628

Soumis le : mardi 19 septembre 2017-18:31:51

Dernière modification le : mardi 10 octobre 2023-16:38:08

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

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

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