Examples

Jupyter Notebook examples are available in the fortitudo.tech GitHub repository. The repository contains the following examples:

1. How to combine CVaR optimization with Entropy Pooling views / stress-tests

2. A replication of the results from Vorobets [2021] for the original Entropy Pooling method

3. The accompanied code for Vorobets [2022] with a comparison of mean-CVaR and mean-variance optimization explaining why we use demeaned CVaR as default

4. An illustration of how to work with the time series simulation that follows with this package

5. The accompanied code for Vorobets [2022] with an example of how to use the relative market values \(v\) parameter for portfolio optimization

6. How to use the simulation / P&L modeling functionality with historical time series for FAANG stocks

The examples are good places to start exploring the functionality of this package. We have very limited resources for support in relation to these, but please let us know if you have suggestions for how we can improve them and make them easier to understand.