finlabR

MaRDI QIDQ7378638CRANFDO

Authors Suyash Jindal

Last update 22 April 2026

Copyright license MIT license, File License

Software version identifier 1.0.0

Description

Tools for portfolio construction and risk analytics, including mean-variance optimization, conditional value at risk (expected shortfall) minimization, risk parity, regime clustering, correlation analysis, Monte Carlo simulation, and option pricing. Includes utilities for portfolio evaluation, clustering, and risk reporting. Methods are based in part on Markowitz (1952) <doi:10.1111/j.1540-6261.1952.tb01525.x>, Rockafellar and Uryasev (2000) <doi:10.21314/JOR.2000.038>, Maillard et al. (2010) <doi:10.3905/jpm.2010.36.4.060>, Black and Scholes (1973) <doi:10.1086/260062>, and Cox et al. (1979) <doi:10.1016/0304-405X(79)90015-1>.

Cites work

• Optimization of conditional value-at-risk
• Option pricing: A simplified approach
• PORTFOLIO SELECTION*
• The pricing of options and corporate liabilities
• The Properties of Equally Weighted Risk Contribution Portfolios

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