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The files contained in this repository were used for implementing the three models in my master thesis. My master thesis title is "Comparison of different portfolio optimization problems with different risk measures".

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markowitz-model risk optimization porfolio portfolio-optimization risk-measures value-at-risk average-value-at-risk entropic-value-at-risk variance

masterthesis's Introduction

  • ๐Ÿ‘‹ Hi, Iโ€™m Kipngeno Kirui. I am currently a Lead Data Scientist in the Financial Industry.
  • ๐Ÿ‘€ I'm interested in Data Science, Machine Learning, Deep Learning and Credit Scoring.
  • ๐ŸŒฑ I have been involved in many projects in Data Science, including building and testing state-of-art machine learning models, developing and validation of financial scoring models and deployment and monitoring of models in production, just to mention a few.
  • ๐Ÿ”ญ Iโ€™m currently working on credit scoring models in Financial Industry.
  • ๐ŸŒฑ Iโ€™m currently learning Data structures and Algorithms.
  • ๐Ÿ’ฌ Ask me about Data Science, Machine Learning, Deep Learning and Credit Scoring.

Skills: Python/R/SQL/Julia/Java

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