Official GitHub organization for the convex research group at the Hong Kong University of Science and Technology (HKUST).
Here you'll find repositories that host practical implementations of the research published by the Convex Group. Video presentations are available on YouTube: https://www.youtube.com/danielpalomar.
👉 Portfolio Optimization book available online.
- spectralGraphTopology: Structured graph learning via Laplacian spectral constraints (NeurIPS 2019) [CRAN]
- sparseGraph: Nonconvex Sparse Graph Learning under Laplacian-structured Graphical Model (NeurIPS 2020)
- fingraph: Graphical Models in Heavy-Tailed Markets (NeurIPS 2021) [CRAN]
- bipartite: Learning Bipartite Graphs: Heavy Tails and Multiple Components (NeurIPS 2022) [CRAN]
- Risk parity portfolio: Design of Risk Parity Portfolios
- R: riskParityPortfolio in GitHub and riskParityPortfolio in CRAN - Listed in [Task View on Empirical Finance]
- Python: riskparityportfolio in GitHub and riskparityportfolio in PyPi
- highOrderPortfolios: Design of High-Order Portfolios via Mean, Variance, Skewness, and Kurtosis [CRAN]
- portfolioBacktest: Automated Backtesting of Portfolios over Multiple Datasets [CRAN]
- sparseIndexTracking: Design of Portfolio of Stocks to Track an Index [CRAN]
- intradayModel: Modeling and Forecasting Financial Intraday Signals [CRAN]
- fitHeavyTail: Mean and Covariance Matrix Estimation under Heavy Tails [CRAN]
- imputeFin: Imputation of Financial Time Series with Missing Values [CRAN] - Listed in Task View on Missing Data
- sparseEigen: Computation of Sparse Eigenvectors of a Matrix [CRAN]
- TRexSelector: Performs fast variable selection in high-dimensional settings while controlling the false discovery rate (FDR) at a user-defined target level
- R: TRexSelector in GitHub and TRexSelector in CRAN
- Python: TRexSelector in GitHub and TRexSelector in PyPi
- tlars: Computes the solution path of the Terminating-LARS (T-LARS) algorithm
- R: tlars in GitHub and tlars in CRAN
- Python: tlars in GitHub and tlars in PyPi