Cluster-based portfolio allocation on an explicit, inspectable tree: hierarchical risk parity, Schur complementary allocation and hierarchical 1/N
Quantitative strategy for the Ibovespa that combines Topological Data Analysis (with Persistent Homology & Mapper), classical factors and meta-models, regime-sensitive HRP. Achieved top 4%.
A Rust library for portfolio allocation strategies, providing implementations for a variety of algorithms.
Hojex. Integrated open-source apps to support you on growing your business day-by-day
Open-source quantitative finance research engine — Black-Litterman, Ledoit-Wolf shrinkage, Hierarchical Risk Parity, leakage-free CPCV backtesting. Independently reproduces the DeMiguel-Garlappi-Uppal "1/N puzzle": no tested optimization method reliably beats naive equal-weighting once estimation error is properly controlled for.
This repo contains all the necessary data and code files needed to reproduce the results and figures reported in our project: Comparing the Hierarchical Risk Parity Algorithm and Mean Variance Portfolio Selection. Refer to README.md for full project and files description.
Portfolio construction and risk benchmarked honestly against equal weight — mean-variance, Black-Litterman, risk parity and HRP with VaR/ES, Kupiec and Christoffersen backtests, and a walk-forward horse race that 1/N wins.
GlieseStation - A version of Spacestation13, forked from Baystation12, through Polaris
Suivre un plan de placement, limiter les achats et ventes, puis expliquer le résultat. Test sur six fonds canadiens avec et sans prévisions.
Agentic multi-strategy hedge fund: PatchTST forecasts, 4-agent LangGraph debate, CPCV-OOS + DSR validation, HRP with Ledoit-Wolf shrinkage. 10-year OOS Sharpe=0.766.
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