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HKUST Convex Optimization in Finance Group · GitHub
HKUST Convex Optimization in Finance Group
Official GitHub organization for the convex research group at the Hong Kong University of Science and Technology (HKUST).
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 .
👉 Portfolio Optimization book available online.
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 ]
Fast Variable/Feature Selection in Large-Scale High-Dimensional Settings
TRexSelector : Performs fast variable selection in high-dimensional settings while controlling the false discovery rate (FDR) at a user-defined target level
tlars : Computes the solution path of the Terminating-LARS (T-LARS) algorithm
Pinned
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Fast and scalable construction of risk parity portfolios
Python
317
74
Structured Graph Learning via Laplacian Spectral Constraints (NeurIPS 2019)
R
61
18
Graphical Models in Heavy-Tailed Markets (NeurIPS 2021)
R
39
17
Nonconvex Sparse Graph Learning under Laplacian-structured Graphical Model (NeurIPS 2020)
R
4
7
Implementations of risk parity portfolios in Rust
Rust
4
3
Learning Bipartite Graphs: Heavy Tails and Multiple Components (NeurIPS 2022)
R
4
2
Repositories
Showing 9 of 9 repositories
riskparity.py
Public
Fast and scalable construction of risk parity portfolios
convexfi/riskparity.py’s past year of commit activity
convexfi/.github’s past year of commit activity
0
0
0
0
Updated Jun 16, 2025
riskparity.rs
Public
Implementations of risk parity portfolios in Rust
convexfi/riskparity.rs’s past year of commit activity
Rust
4
MIT
3
0
0
Updated Oct 19, 2024
intradayModel
Public
Modeling of intraday volatility and volume in financial markets
convexfi/intradayModel’s past year of commit activity
R
16
Apache-2.0
8
0
0
Updated May 29, 2023
fingraph
Public
Graphical Models in Heavy-Tailed Markets (NeurIPS 2021)
convexfi/fingraph’s past year of commit activity
R
39
MIT
17
2
0
Updated May 28, 2023
bipartite
Public
Learning Bipartite Graphs: Heavy Tails and Multiple Components (NeurIPS 2022)
convexfi/bipartite’s past year of commit activity
R
4
MIT
2
0
0
Updated May 28, 2023
fitHeavyTail
Public
Mean and Covariance Matrix Estimation under Heavy Tails
convexfi/fitHeavyTail’s past year of commit activity
R
22
GPL-3.0
6
0
0
Updated May 24, 2023
convexfi/spectralGraphTopology’s past year of commit activity
R
61
GPL-3.0
18
4
0
Updated Sep 26, 2022
sparseGraph
Public
Nonconvex Sparse Graph Learning under Laplacian-structured Graphical Model (NeurIPS 2020)
convexfi/sparseGraph’s past year of commit activity
R
4
MIT
7
0
0
Updated Aug 29, 2022
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