From 200880bb0828cb9347557cea8bb5b04f2911ccae Mon Sep 17 00:00:00 2001 From: Artur Sepp Date: Sat, 25 Jul 2026 02:36:06 +0200 Subject: [PATCH] Add factorlasso (#496) --- README.md | 1 + 1 file changed, 1 insertion(+) diff --git a/README.md b/README.md index 24a20e3..da41162 100644 --- a/README.md +++ b/README.md @@ -309,6 +309,7 @@ A curated list of insanely awesome libraries, packages and resources for Quants - [AutoHypothesis](https://github.com/arteemg/AutoHypothesis) - `Python` - An agentic framework that mimics the real quant trading pipeline to find alpha: economic hypothesis, in-sample iteration, and out-of-sample validation. - [skfolio](https://github.com/skfolio/skfolio) - `Python` - Python library for portfolio optimization built on top of scikit-learn. It provides a unified interface and sklearn compatible tools to build, tune and cross-validate portfolio models. - [PyPortfolioOpt](https://github.com/robertmartin8/PyPortfolioOpt) - `Python` - Financial portfolio optimization in python, including classical efficient frontier and advanced methods. +- [factorlasso](https://github.com/ArturSepp/factorlasso) - `Python` - Sparse multi-asset factor models with cell-level sign constraints, prior-centred shrinkage, and hierarchical clustering group LASSO (HCGL); scikit-learn compatible. - [OptimalPortfolios](https://github.com/ArturSepp/OptimalPortfolios) - `Python` - Optimisation analytics for constructing and backtesting optimal multi-asset portfolios: covariance estimation, rolling optimisation, and performance reporting in one pipeline. - [Eiten](https://github.com/tradytics/eiten) - `Python` - Eiten is an open source toolkit by Tradytics that implements various statistical and algorithmic investing strategies such as Eigen Portfolios, Minimum Variance Portfolios, Maximum Sharpe Ratio Portfolios, and Genetic Algorithms based Portfolios. - [riskparity.py](https://github.com/dppalomar/riskparity.py) - `Python` - fast and scalable design of risk parity portfolios with TensorFlow 2.0.