{"repo":"dthinkr/yand-mvsk","free":true,"listed":false,"github":"https://github.com/dthinkr/yand-mvsk","clone":"git clone https://github.com/dthinkr/yand-mvsk.git","description":"Fast MVSK portfolio optimization: no tensor storage, solves 800 assets in 0.05s","language":"Python","stars":20,"topics":["optimization","portfolio-optimization","python","quantitative-finance","higher-moments","mvsk"],"license":"MIT","category":"trading","readme_excerpt":"YAND-MVSK: Portfolio Optimization with Tail Risk Control Asset allocation that sees beyond mean and variance. Optimizes return, volatility, skewness, and kurtosis in one shot. Markowitz gave us mean-variance. But financial returns have fat tails and asymmetry: the 2008 crash, the COVID drop, the meme stock spikes. YAND-MVSK optimizes across all four statistical moments, so your portfolio accounts for tail risk that traditional optimizers ignore. It solves in 5-10 iterations even for 800+ assets. Who is this for? - Quant researchers building factor portfolios or smart-beta strategies that control for higher moments - Risk managers who want to penalize negative skewness (crash exposure) and excess kurtosis (tail risk) - Asset allocators optimizing across ETFs, stocks, or multi-asset universes where return distributions are non-Gaussian - Academic finance : reproducible implementation of a state-of-the-art MVSK algorithm for benchmarking Why higher moments? Mean-variance optimization assumes returns are Gaussian. Real markets aren't. Equities exhibit negative skewness (crashes are sharper than rallies) and excess kurtosis (extreme moves happen more than a normal distribution predicts). Ignoring these moments means your \"optimal\" portfolio is optimized for a world that doesn't exist. YAND-MVSK lets you express preferences over all four moments in a single convex optimization: maximize return, minimize variance, maximize skewness (prefer upside), minimize kurtosis (avoid tail even","default_branch":null,"files":null,"tree":[],"storefront":"/r/dthinkr","claimed":false,"request_supported":{"post":"https://gitbuyer.com/r/dthinkr/yand-mvsk/request-supported","requests":0},"note":"indexed from public GitHub; nothing is for sale on this page. Clone it from GitHub. Paid listings live at /search."}