Examples

Jupyter Notebook examples are available in the fortitudo.tech GitHub repository. The repository contains the following examples:

1. How to combine CVaR optimization with Entropy Pooling views / stress-tests

2. A replication of the results from Vorobets [2021] for the original Entropy Pooling method

3. The accompanied code for Vorobets [2022] with a comparison of mean-CVaR and mean-variance optimization explaining why we use demeaned CVaR as default