Portfolio-Construction-With-Gaussian-Mixture-Models
PublicReproducibility repository for "Portfolio Construction with Gaussian Mixture Models" thesis. Complete implementation of 9 portfolio optimization strategies including novel KDE/GMM approaches, with C acceleration, multiple solvers (CVXPY/IPOPT/SciPy), and full backtesting framework. All figures/tables regenerable.
backtestinggaussian-mixture-modelskernel-density-estimationmean-variance-optimizationportfolio-optimizationpythonquantitative-financereproducible-researchrisk-managementthesis-project
Creat:2025-06-04T02:45:00
Update:2025-06-08T17:07:28
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