Fernholz SPT Library
Open-source Python library implementing Stochastic Portfolio Theory for functionally generated portfolios and relative arbitrage strategies.
Ongoing · Mathematical Finance · Portfolio Optimization
- Developing open-source Python library implementing E.R. Fernholz’s Stochastic Portfolio Theory for functionally generated portfolios and relative arbitrage strategies.
- Implementing entropy-based diversity measures, market capitalization ranking algorithms, and log-optimal growth rate calculations using continuous semimartingale theory.
- Building Monte Carlo backtesting framework for evaluating portfolio strategies under various volatility regimes and market conditions.