Entropy Pooling views and stress-testing combined with Conditional Value-at-Risk (CVaR) portfolio optimization in Python.

Entropy Pooling in Python with a BSD 3-Clause license.

Application to finance

One-week side project to play around stochastic optimization (how to take *good* decisions under uncertainty)

Stress Testing Financial Portfolios using S&P 500 Stock Data from Kaggle.

Essential techniques to assess financial risks

Provides a concrete Julia implementation for computing the conditional value-at-risk (aka expected shortfall) for discrete probability distributions. Also works as a pseudocode for other languages.

A Stochastic Primal-Dual Proximal Splitting Method for Risk-Averse Optimal Control of PDEs

Using Monte Carlo Simulations to calculate the Value at Risk (VaR) and Conditional Value at Risk (CVaR) for a tech-heavy portfolio in stocks.

Monte Carlo Value-at-Risk | Conditional Value-at-Risk

Financial Risk with Python