Software

This is a selection of free software projects I developed. More or less in order of how active I am in them:

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

• (codename) project_euromir, prototype of a factorization-free conic solver

• tsar, a library for high dimensional time-series auto regression

• cone_prog_refine, iterative refinement of conic program solution vectors, now part of project_euromir

• kelly_code, risk-constrained Kelly portfolio allocation

• vwap_opt_exec, volume-weighted average price optimal execution

• boolprob, fitting joint Boolean distributions for credit default modeling

I also contributed to projects developed by other people mostly at Stanford. More or less in order of the weight of my contributions:

• cvxpower, a library for electric power grid optimization

• cvxpy, a library for convex programming symbolic definition and solution

• scs, a conic programming solver that uses operator splitting methods

• … and more

GitHub account

You can find me at @enzbus on GitHub.