Examples
Jupyter Notebook examples are available in the fortitudo.tech GitHub repository. The repository contains the following examples:
How to combine Entropy Pooling views / stress-tests with CVaR optimization
A replication of the results from Vorobets [2021] for the original Entropy Pooling method
A comparison between mean-CVaR and mean-variance optimization illustrating why we use demeaned CVaR as default
The parameters and simulation used in the examples are based on Vorobets [2021].