{"repo":"fortitudo-tech/entropy-pooling","free":true,"listed":false,"github":"https://github.com/fortitudo-tech/entropy-pooling","clone":"git clone https://github.com/fortitudo-tech/entropy-pooling.git","description":"Entropy Pooling in Python with a BSD 3-Clause license.","language":"Python","stars":41,"topics":["black-litterman","entropy-pooling","investment-analysis","investments","mathematical-finance","portfolio-construction","quantitative-finance","asset-allocation","asset-management","bayesian"],"license":"BSD-3-Clause","category":"trading","readme_excerpt":"Entropy Pooling in Python ========================= Due to popular demand from developers, this package contains the Entropy Pooling implementation from the fortitudo.tech Python package with a more permissive BSD 3-Clause license. This package contains only one function called ep and has minimal dependencies with just scipy. See the examples for how you can import and use the ep function. You can explore the examples without local installations using Binder. Installation instructions ------------------------- Installation can be done via pip: pip install entropy-pooling Theory ------ Entropy Pooling is a powerful method for implementing subjective views and performing stress-tests for fully general Monte Carlo distributions. It was first introduced by Meucci (2008) and refined with sequential algorithms by Vorobets (2021). Watch this lecture for a detailed presentation of Sequential Entropy Pooling (SeqEP). You can loosely think about Entropy Pooling as a generalization of the Black-Litterman model without all the oversimplifying assumptions. Entropy Pooling operates directly on the next generation market representation defined by the simulation matrix $R\\in \\mathbb{R}^{S\\times I}$ and associated joint scenario probability vector $p\\in \\mathbb{R}^{S}$. For a quick introduction to Entropy Pooling intuition, watch this YouTube video. For a collection of Entropy Pooling resources, see this Substack post. The original Entropy Pooling approach solves the minimum relative entropy ","default_branch":null,"files":null,"tree":[],"storefront":"/r/fortitudo-tech","claimed":false,"request_supported":{"post":"https://gitbuyer.com/r/fortitudo-tech/entropy-pooling/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."}