Portfolio optimisation library for Julia. Over 50 risk measures (CVaR, EVaR, RLVaR, drawdown, OWA), hierarchical risk parity, HERC, nested clustered optimisation, risk budgeting, near-optimal centering, four Black-Litterman variants, entropy pooling, factor and high-order priors, denoising, and JuMP-backed convex and non-convex optimization.
These files are dcelisgarza/PortfolioOptimisers.jl's own configuration. They tell Claude Code, GitHub Copilot, Codex and OpenCode how to work on this repository, so they are not mods to install elsewhere. Copy one as a starting point and replace the parts that are about this project.
.github/copilot-instructions.md A 1,697 tok .github/instructions/julia-docstrings.instructions.md A 9,250 tok .github/instructions/julia-return-types.instructions.md A 689 tok .github/instructions/julia-source-code.instructions.md A 2,812 tok .github/instructions/julia-test-writing.instructions.md A 1,196 tok AGENTS.md A 4 tok CLAUDE.md A 1,713 tok .claude/skills/run-doctests/SKILL.md A 44 tok