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https://github.com/cvxgrp/robust_bond_portfolio

Robust Bond Portfolio Construction via Convex-Concave Saddle Point Optimization

https://github.com/cvxgrp/robust_bond_portfolio

Science Score: 36.0%

This score indicates how likely this project is to be science-related based on various indicators:

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    CITATION.cff file
  • ✓
    codemeta.json file
    Found codemeta.json file
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    .zenodo.json file
  • ✓
    DOI references
    Found 2 DOI reference(s) in README
  • ✓
    Academic publication links
    Links to: arxiv.org
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    Scientific vocabulary similarity
    Low similarity (11.0%) to scientific vocabulary
Last synced: 10 months ago · JSON representation

Repository

Robust Bond Portfolio Construction via Convex-Concave Saddle Point Optimization

Basic Info
  • Host: GitHub
  • Owner: cvxgrp
  • Language: Python
  • Default Branch: main
  • Homepage:
  • Size: 97.7 KB
Statistics
  • Stars: 11
  • Watchers: 3
  • Forks: 0
  • Open Issues: 0
  • Releases: 0
Created over 3 years ago · Last pushed about 2 years ago
Metadata Files
Readme

README.md

Robust Bond Portfolio Construction via Convex-Concave Saddle Point Optimization

Linters

This repo accompanies our paper and provides code and data to replicate all results.

Getting started

Clone the repo and run bash pip install -e . from the root folder.

Running the code

To recreate the examples, simply run bash python run_examples.py which will show all figures and print the numerical results to the terminal.

Note The examples require the Mosek solver (academic licenses are available).

Code snippets

All code snippets presented in the paper are maintained as test cases is tests/test_snippets.py and can be copied from there.

Citing

If you want to reference our paper in your research, please consider citing us by using the following BibTeX:

BibTeX @article{luxenberg2024robustbond, title = {Robust Bond Portfolio Construction via Convex-Concave Saddle Point Optimization}, author = {Luxenberg, Eric and Schiele, Philipp and Boyd, Stephen}, journal = {Journal of Optimization Theory and Applications}, pages = {1--27}, year = {2024}, doi = {https://doi.org/10.1007/s10957-024-02436-z}, publisher = {Springer}, pdf = {https://web.stanford.edu/\%7Eboyd/papers/pdf/robust_bond_portfolio.pdf} }

Owner

  • Name: Stanford University Convex Optimization Group
  • Login: cvxgrp
  • Kind: organization
  • Location: Stanford, CA

GitHub Events

Total
  • Watch event: 2
Last Year
  • Watch event: 2

Issues and Pull Requests

Last synced: about 1 year ago

All Time
  • Total issues: 1
  • Total pull requests: 1
  • Average time to close issues: about 1 year
  • Average time to close pull requests: about 7 hours
  • Total issue authors: 1
  • Total pull request authors: 1
  • Average comments per issue: 8.0
  • Average comments per pull request: 0.0
  • Merged pull requests: 1
  • Bot issues: 0
  • Bot pull requests: 0
Past Year
  • Issues: 0
  • Pull requests: 0
  • Average time to close issues: N/A
  • Average time to close pull requests: N/A
  • Issue authors: 0
  • Pull request authors: 0
  • Average comments per issue: 0
  • Average comments per pull request: 0
  • Merged pull requests: 0
  • Bot issues: 0
  • Bot pull requests: 0
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Top Authors
Issue Authors
  • andrewcz (1)
Pull Request Authors
  • phschiele (1)
Top Labels
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Dependencies

.github/workflows/linter.yml actions
  • actions/checkout v2 composite
  • actions/setup-python v2 composite
pyproject.toml pypi