LukeZerg / AssetAllocation
资产配置,BL模型和风险平价模型
☆18Updated 7 years ago
Alternatives and similar repositories for AssetAllocation:
Users that are interested in AssetAllocation are comparing it to the libraries listed below
- Risk Parity and Factors Model on multi asseet management☆21Updated 3 years ago
- This is a program for strategic asset allocation research for negative investment FOF.☆13Updated 4 years ago
- 多因子模型相关☆21Updated 3 years ago
- This is an internship project aiming to make Attribution Analysis for general equity funds in China market☆14Updated 6 years ago
- 一个基于中国市场的Fama-French五因子实证研究☆34Updated 2 years ago
- This is a VaR and AVaR calculator for portfolio only with stocks using Monte Carlo Method.☆18Updated 7 years ago
- 资产配置方案项目☆29Updated 4 years ago
- Campisi纯债型基金业绩归因模型程序,适用于中国市场,需要有Wind的API接口权限☆39Updated last year
- The code implements FamaMacbeth regression as in Fama & MacBeth (1973)☆20Updated 5 years ago
- A multi-factor stock selection model based on random forest with an average annualized yield of 33.74% from March 2014 to June 2017 when …☆14Updated 6 years ago
- ☆15Updated 3 years ago
- Risk_Parity strategy 风险平价☆23Updated 4 years ago
- 量化研究-多因子模型☆19Updated last year
- 量化FOF框架☆12Updated 5 years ago
- 一些研报的复现☆12Updated 6 years ago
- An internship project: Implement Barra model to take risk or style factor attribution based on multi-factor model.☆63Updated 7 years ago
- my first factor-stock-selecting backtest function☆21Updated 4 years ago
- 多因子选股框架☆21Updated 4 years ago
- 利用Wind API更新周频与月频因子☆10Updated 5 years ago
- Simulate and estimate volatility by GARCH with/without leverage, riskmetriks. Compute Value-at-Risk and Test on VaR Violation☆20Updated 6 years ago
- 上证50成分股、马科维茨有效前沿、CML、资本市场线、最高夏普比率、最低风险☆25Updated 6 years ago
- 多因子选股(股票) ,基于Fama三因子构成的多因子策略☆75Updated 7 years ago
- 【Framework】A Multi Factor Strategy based on XGboost, its my homework project in Tsinghua, the Introduction to Quantitative Finance, 2019 …☆15Updated 2 years ago
- 基于机器学习的多因子研究框架☆14Updated 4 years ago
- create all-weather risk parity weights and back-test☆30Updated 3 years ago
- Quantlib是一个个人维护、使用的量化模块,主要用于金融数据的获取、清洗、变换和分析等功能。☆21Updated 6 years ago
- Q-quant和因子投资实证汇总☆19Updated 3 years ago
- 计算波动率的六种方法,计算隐含波动率,凤凰期权的定价,编制基于50ETF期权的VIX指数☆121Updated 4 years ago
- It is a project that conducts a study on predicting the cross section of Chinese stock market returns with a large panel of 75 individual…☆32Updated 3 years ago
- 多因子策略回测框架☆32Updated 5 years ago