Conditional Value-at-Risk (CVaR) portfolio optimization and Entropy Pooling views / stress-testing in Python.
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Updated
Jun 4, 2024 - Python
Conditional Value-at-Risk (CVaR) portfolio optimization and Entropy Pooling views / stress-testing in Python.
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Download NIFTY historic data and calculate Calmar Ratio, Sortino Ratio, Sterling ratio, Sharpe Ratio, Treynor ratio, Jensens alpha, Information ratio, Appraisal ratio, Tracking error, Max drawdown, Average drawdown. Select the best stocks based on Risk Adjusted Return and other parameters like debt to equity, insider holding, profit margin etc.
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