GitHub - AnshDani2004/Hierarchical-Bayesian-Portfolio-Optimization: Implemented hierarchical model using Hamiltonian Monte Carlo (NUTS) for covariance estimation with LKJ priors. Superior tail-risk capture vs Mean-Variance optimization.

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Name		Name	Last commit message	Last commit date
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DAT_494_Final_Project_Report.pdf		DAT_494_Final_Project_Report.pdf
bayes_vs_classical.png		bayes_vs_classical.png
dat494.py		dat494.py
obs_vs_ppc_mean.png		obs_vs_ppc_mean.png
posterior_corr.png		posterior_corr.png
posterior_mu_ci.png		posterior_mu_ci.png
ppc_density_per_asset.png		ppc_density_per_asset.png
ppc_timeseries_AAPL.png		ppc_timeseries_AAPL.png
ppc_timeseries_SPY.png		ppc_timeseries_SPY.png
weights_violin.png		weights_violin.png

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Implemented hierarchical model using Hamiltonian Monte Carlo (NUTS) for covariance estimation with LKJ priors. Superior tail-risk capture vs Mean-Variance optimization.