Portfolio optimisation library for Julia. Over 50 risk measures (CVaR, EVaR, RLVaR, drawdown, OWA), hierarchical risk parity, HERC, nested clustered optimisation, risk budgeting, near-optimal centering, four Black-Litterman variants, entropy pooling, factor and high-order priors, denoising, and JuMP-backed convex and non-convex optimization.
machine-learning julia portfolio-optimization quantitative-finance convex-optimization asset-allocation black-litterman mean-variance-optimization asset-management covariance-estimation portfolio-management risk-parity risk-budgeting efficient-frontier portfolio-optimisation risk-measures cvar entropy-pooling hierarchical-risk-parity nested-clustered-optimization
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Updated
Sep 9, 2026 - Julia