Stanford University Convex Optimization Group

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114 repositories

cvxportfolio
Public
Portfolio optimization and back-testing.
python finance time-series optimization optimizer portfolio-optimization optimization-methods optimization-algorithms convex-optimization
Python
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GNU General Public License v3.0
•260•1k•27•3•Updated Feb 10, 2025Feb 10, 2025
markowitz-reference
Public
This repository contains a reference implementation of the Markowitz portfolio optimization problem discussed in the paper Markowitz Portfolio Construction at Seventy.
Python
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Apache License 2.0
•5•23•3•0•Updated Feb 10, 2025Feb 10, 2025
cvxbook_additional_exercises
Public
Additional exercises and data for EE364a. No solutions; for public consumption.
Julia
•169•636•0•0•Updated Feb 9, 2025Feb 9, 2025
cvxbson
Public
dealing with json and bson files
Python
•
Apache License 2.0
•0•2•3•0•Updated Feb 8, 2025Feb 8, 2025
cvxcla
Public
critical line algorithm for efficient frontier
Python
•
Apache License 2.0
•1•7•6•0•Updated Feb 8, 2025Feb 8, 2025
cvxrisk
Public
Compile risk with cvxpy
Python
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Apache License 2.0
•1•13•2•0•Updated Feb 8, 2025Feb 8, 2025
cvxball
Public template
Fast computation of the smallest enclosing sphere
Jupyter Notebook
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MIT License
•0•5•2•0•Updated Feb 8, 2025Feb 8, 2025
simulator
Public template
Tool to support backtests
Python
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Apache License 2.0
•2•43•10•0•Updated Feb 8, 2025Feb 8, 2025
CuClarabel
Public
Julia
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Apache License 2.0
•1•15•1•12•Updated Feb 7, 2025Feb 7, 2025
.github
Public
Reusable workflows for cvxgrp
testing docker devops automation latex ci-cd gitops github-actions
Makefile
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Apache License 2.0
•0•1•1•0•Updated Feb 7, 2025Feb 7, 2025
randalo
Public
Python
•
MIT License
•0•1•0•0•Updated Feb 6, 2025Feb 6, 2025
cov_pred_finance
Public
Jupyter Notebook
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Apache License 2.0
•9•63•12•2•Updated Feb 5, 2025Feb 5, 2025
cvxstatarb
Public
Jupyter Notebook
•10•24•6•0•Updated Feb 4, 2025Feb 4, 2025
boilerplate
Public archive
We use this repo to automate and avoid boilerplate issue
Python
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Apache License 2.0
•0•1•0•0•Updated Feb 4, 2025Feb 4, 2025
cvxmarkowitz
Public
Python
•
Apache License 2.0
•3•26•12•2•Updated Feb 4, 2025Feb 4, 2025
cvxcli
Public template
Example cli using fire, uv and uvx
cli command-line-tool uv uvx
Python
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Apache License 2.0
•0•2•2•0•Updated Feb 4, 2025Feb 4, 2025
diffcp
Public
Differentiation through cone programs
Python
•
Apache License 2.0
•21•96•11•3•Updated Feb 3, 2025Feb 3, 2025
crypto_portfolio
Public
Jupyter Notebook
•
Apache License 2.0
•2•3•0•5•Updated Feb 3, 2025Feb 3, 2025
torch_linops
Public
A library to define abstract linear operators, and associated algebra and matrix-free algorithms, that works with pyTorch Tensors.
linear-algebra matrix pytorch
Python
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Apache License 2.0
•1•11•0•0•Updated Feb 2, 2025Feb 2, 2025
scs
Public
Splitting Conic Solver
optimization solver linear-programming numerical-optimization semidefinite-programming optimization-algorithms quadratic-programming convex-optimization first-order-methods cone-programming
C
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MIT License
•138•564•41•3•Updated Jan 28, 2025Jan 28, 2025
mlr_fitting
Public
Factor Fitting, Rank Allocation, and Partitioning in Multilevel Low Rank Matrices
Jupyter Notebook
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Apache License 2.0
•1•7•0•0•Updated Jan 27, 2025Jan 27, 2025
pdmcf
Public
Python
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MIT License
•0•0•0•0•Updated Jan 26, 2025Jan 26, 2025
spcqe
Public
Smooth periodic consistent quantile estimation
Jupyter Notebook
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BSD 2-Clause "Simplified" License
•2•8•2•0•Updated Jan 23, 2025Jan 23, 2025
multilevel_factor_model
Public
Fitting multilevel factor model
Jupyter Notebook
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Apache License 2.0
•1•3•1•0•Updated Jan 20, 2025Jan 20, 2025
signal-decomposition
Public
A simple and general framework for signal decomposition
Jupyter Notebook
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BSD 3-Clause "New" or "Revised" License
•7•62•2•0•Updated Jan 16, 2025Jan 16, 2025
n-queens
Public
Python
•0•2•0•0•Updated Jan 14, 2025Jan 14, 2025
randalo-adelie
Public
Python
•0•0•0•0•Updated Jan 10, 2025Jan 10, 2025
dsp
Public
A CVXPY extension for saddle problems
python optimization modeling-language cvxpy saddle-point
Python
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Apache License 2.0
•3•26•2•1•Updated Jan 6, 2025Jan 6, 2025
cvxpy
Public
A Python-embedded modeling language for convex optimization problems.
C++
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Apache License 2.0
•1.1k•15•0•0•Updated Dec 31, 2024Dec 31, 2024
cvx_short_course
Public
Materials for a short course on convex optimization.
Jupyter Notebook
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Apache License 2.0
•115•338•5•2•Updated Dec 31, 2024Dec 31, 2024