Skip to content
View dppalomar's full-sized avatar
🖥️
coding portfolios...
🖥️
coding portfolios...

Sponsors

@mirca

Highlights

  • Pro

Block or report dppalomar

Report abuse

Contact GitHub support about this user’s behavior. Learn more about reporting abuse.

Report abuse
dppalomar/README.md

Welcome!

I am Daniel Palomar, a Professor at the Hong Kong University of Science and Technology (HKUST). I work on optimization problems related to financial systems and data analytics in general. My webpage is https://www.danielppalomar.com

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.

Graph Learning in Finance and Other Applications

  • 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]

Portfolio Optimization

Financial Data Modeling

Fast Variable/Feature Selection in Large-Scale High-Dimensional Settings

Pinned Loading

  1. riskParityPortfolio riskParityPortfolio Public

    Design of Risk Parity Portfolios

    R 112 29

  2. convexfi/spectralGraphTopology convexfi/spectralGraphTopology Public

    Structured Graph Learning via Laplacian Spectral Constraints (NeurIPS 2019)

    R 59 17

  3. convexfi/riskparity.py convexfi/riskparity.py Public

    Fast and scalable construction of risk parity portfolios

    Python 301 72

  4. portfolioBacktest portfolioBacktest Public

    Automated Backtesting of Portfolios over Multiple Datasets

    R 63 13

  5. convexfi/fitHeavyTail convexfi/fitHeavyTail Public

    Mean and Covariance Matrix Estimation under Heavy Tails

    R 22 5

  6. imputeFin imputeFin Public

    Imputation of Financial Time Series with Missing Values and/or Outliers

    R 25 3