Software

This is a selection of open-source projects I developed, as main author:

• cvxportfolio, a library for portfolio optimization and back-testing

• kelly_code, code accompanying the paper on risk-constrained Kelly gambling

• vwap_opt_exec, code accompanying the paper on VWAP optimal execution

• cone_prog_refine, cone accompanying the paper on solution refinement of conic programs; its logic has been re-implemented inside CvxpyLayers, a plugin system for convex programming in deep learning

These are other projects I made significant contributions to:

• cvxpy, a framework for convex optimization; early contributor, I wrote the first interface to the Mosek solver, and helped design the QP compilation system

• cvxpower, a library for smart grid simulation and optimization

• scs, a first-order conic programming solver

GitHub account

You can find me at @enzbus on GitHub.