PortOpt [Portfolio Optimizer], a C++ program (with Python binding) implementing the Markowitz (1952) mean-variance model with agent's linear indifference curves toward risk in order to find the optimal assets portfolio under risk - AgroParisTech Access content directly
Other Publications Year : 2016

PortOpt [Portfolio Optimizer], a C++ program (with Python binding) implementing the Markowitz (1952) mean-variance model with agent's linear indifference curves toward risk in order to find the optimal assets portfolio under risk

Antonello Lobianco
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Dates and versions

hal-01590628 , version 1 (19-09-2017)

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  • HAL Id : hal-01590628 , version 1

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Antonello Lobianco. PortOpt [Portfolio Optimizer], a C++ program (with Python binding) implementing the Markowitz (1952) mean-variance model with agent's linear indifference curves toward risk in order to find the optimal assets portfolio under risk. 2016, https://sourceforge.net/projects/portopt/. ⟨hal-01590628⟩
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