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multistart-optimization

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SadraDaneshvar / game-of-weights-threshold-portfolio-optimization

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Synthetic threshold-payoff portfolio optimization on the probability simplex using projected CRN-SPSA and multistart simulation.

python numpy monte-carlo jupyter-notebook pandas constrained-optimization scipy portfolio-optimization variance-reduction spsa synthetic-data simulation-optimization stochastic-approximation statistical-simulation probability-simplex common-random-numbers threshold-payoffs risk-adjusted-optimization multistart-optimization zero-inflated-returns
  • Updated Aug 12, 2026
  • Jupyter Notebook

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