Stanford University Convex Optimization Group

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111 repositories

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
•4•23•3•0•Updated Jan 5, 2025Jan 5, 2025
cvxcla
Public
critical line algorithm for efficient frontier
Python
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Apache License 2.0
•1•7•6•0•Updated Jan 5, 2025Jan 5, 2025
boilerplate
Public
We use this repo to automate and avoid boilerplate issue
Python
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Apache License 2.0
•0•1•0•0•Updated Jan 5, 2025Jan 5, 2025
cvxcli
Public
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 Jan 5, 2025Jan 5, 2025
simulator
Public template
Tool to support backtests
Python
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Apache License 2.0
•2•40•9•0•Updated Jan 5, 2025Jan 5, 2025
.github
Public
Reusable workflows for cvxgrp
testing docker devops automation latex ci-cd gitops github-actions
Apache License 2.0
•0•0•0•0•Updated Jan 5, 2025Jan 5, 2025
cvxmarkowitz
Public
Python
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Apache License 2.0
•2•24•12•2•Updated Jan 5, 2025Jan 5, 2025
cvxrisk
Public
Compile risk with cvxpy
Python
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Apache License 2.0
•1•11•1•0•Updated Jan 5, 2025Jan 5, 2025
cvxbson
Public
dealing with json and bson files
Python
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Apache License 2.0
•0•2•2•0•Updated Jan 5, 2025Jan 5, 2025
CuClarabel
Public
Julia
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Apache License 2.0
•0•4•0•11•Updated Jan 5, 2025Jan 5, 2025
randalo
Public
Python
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MIT License
•0•1•0•0•Updated Jan 3, 2025Jan 3, 2025
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
•259•1k•27•3•Updated Jan 3, 2025Jan 3, 2025
cvxpy
Public
A Python-embedded modeling language for convex optimization problems.
C++
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Apache License 2.0
•1.1k•14•0•0•Updated Dec 31, 2024Dec 31, 2024
cov_pred_finance
Public
Jupyter Notebook
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Apache License 2.0
•7•63•10•1•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•334•5•2•Updated Dec 31, 2024Dec 31, 2024
cvxstatarb
Public
Jupyter Notebook
•10•22•6•1•Updated Dec 31, 2024Dec 31, 2024
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
•0•10•0•0•Updated Dec 29, 2024Dec 29, 2024
cvxbook_additional_exercises
Public
Additional exercises and data for EE364a. No solutions; for public consumption.
Julia
•166•613•0•0•Updated Dec 28, 2024Dec 28, 2024
crypto_portfolio
Public
Jupyter Notebook
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Apache License 2.0
•2•3•0•5•Updated Dec 20, 2024Dec 20, 2024
cvxpygen
Public
Code generation with CVXPY
Python
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Apache License 2.0
•17•132•9•2•Updated Dec 16, 2024Dec 16, 2024
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•558•41•3•Updated Dec 10, 2024Dec 10, 2024
cvxpylayers
Public
Differentiable convex optimization layers
Python
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Apache License 2.0
•163•1.9k•48•5•Updated Dec 6, 2024Dec 6, 2024
spcqe
Public
Smooth periodic consistent quantile estimation
Jupyter Notebook
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BSD 2-Clause "Simplified" License
•2•7•2•1•Updated Dec 5, 2024Dec 5, 2024
cvx_opt_overview_examples
Public
Numerical examples for the slides
Makefile
•0•0•0•0•Updated Nov 12, 2024Nov 12, 2024
CVXR
Public
An R modeling language for convex optimization problems.
R
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Apache License 2.0
•32•206•21•2•Updated Nov 11, 2024Nov 11, 2024
diffcp
Public
Differentiation through cone programs
Python
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Apache License 2.0
•21•94•8•3•Updated Nov 11, 2024Nov 11, 2024
n-queens
Public
Python
•0•2•0•0•Updated Nov 9, 2024Nov 9, 2024
optimization_via_circuits
Public
Distributed Optimization: Analysis and Synthesis via Circuits
Python
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Apache License 2.0
•1•8•0•0•Updated Nov 6, 2024Nov 6, 2024
rrandalo
Public
RandALO in R
C
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MIT License
•0•0•0•0•Updated Oct 10, 2024Oct 10, 2024
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•25•2•2•Updated Oct 1, 2024Oct 1, 2024