Software

GitHub group page

• Visit the Convex Optimization in Finance group GitHub page at convexfi

R packages in CRAN

• intradayModel: Modeling and Forecasting Financial Intraday Signals

• highOrderPortfolios: Design of High-Order Portfolios via Mean, Variance, Skewness, and Kurtosis

• imputeFin: Imputation of Financial Time Series with Missing Values

  • Listed in: CRAN Task View on Missing Data

• fitHeavyTail: Mean and Covariance Matrix Estimation under Heavy Tails

• portfolioBacktest: Automated Backtesting of Portfolios over Multiple Datasets

• spectralGraphTopology: Learning Graphs from Data via Spectral Constraints

• riskParityPortfolio: Design of Risk Parity Portfolios

  • Featured in R-bloggers and RStudio.
  • Listed in: CRAN Task View on Empirical Finance and awesome-quant.

• sparseIndexTracking: Design of Portfolio of Stocks to Track an Index

  • Listed in: awesome-quant.

• sparseEigen: Computation of Sparse Eigenvectors of a Matrix