Asset Allocation
Portfolio Optimisation
A quant library for portfolio construction and risk, spanning hierarchical and clustered allocation, coherent and spectral risk measures, copula tail modelling, and maximum-likelihood SDE fitting.
Builds allocations with Hierarchical Risk Parity, Nested Clustered Optimisation, and Hierarchical Equal Risk Contribution, with Ledoit-Wolf shrinkage, Marchenko-Pastur denoising, and Black-Litterman view blending.
Adds convex programs for minimum Conditional Drawdown-at-Risk, second-order stochastic dominance, and polynomial goal programming over mean, variance, skewness, and kurtosis.
Measures risk through Value-at-Risk, Conditional Value-at-Risk, entropic and spectral measures, and Wang-transform distortion, with Student t-copula simulation and maximum-likelihood fitting of geometric Brownian motion and Ornstein-Uhlenbeck processes.