RJT1990 / Active-Portfolio-Management-Notes
Notes for Active Portfolio Management, by Grinold and Kahn
☆46Updated 8 years ago
Alternatives and similar repositories for Active-Portfolio-Management-Notes:
Users that are interested in Active-Portfolio-Management-Notes are comparing it to the libraries listed below
- Jupyter (IPython) notebooks for exploring mixture models☆36Updated 8 years ago
- Advances in Financial Machine Learning by Marcos Lopez De Prado☆54Updated 6 years ago
- CVXPY Portfolio Optimization Sample☆46Updated 8 years ago
- Financial security modelling with Python and QuantLib☆33Updated 11 years ago
- A Survey of Multi-Factor Models☆40Updated 9 years ago
- Pairs trading strategy that includes a research pipeline for identifying and selecting pairs. Tests all possible pairs in a universe for …☆36Updated last year
- Python library for high frequency portfolio analysis, intraday backtesting and optimization☆65Updated 7 years ago
- Python tools to quantitatively manage financial risk☆66Updated 5 years ago
- Repository for teachings on Quant Finance☆49Updated 5 years ago
- A statistical arbitrage strategy on treasury futures using mean-reversion property and meanwhile insensitive to the yield change☆76Updated 6 years ago
- ☆35Updated 7 years ago
- ☆27Updated 6 years ago
- Risk estimation algorithms☆30Updated 6 years ago
- ☆24Updated 6 years ago
- ☆16Updated 4 years ago
- Portfolio Construction Functions under the Basic Mean_Variance Model, the Factor Model and the Black_Litterman Model.☆40Updated 7 years ago
- ☆72Updated 3 years ago
- HAR-RV Model For Realized Volatility☆29Updated 9 years ago
- Machine Learning for Financial Market Prediction☆58Updated 6 years ago
- Modeling the volatility of commodity futures Indices☆14Updated 8 years ago
- Notebooks and stuff from quantfiction.com☆37Updated 5 years ago
- Library for simulation and analysis of vanilla and exotic options☆33Updated 4 years ago
- Implementation of Monte Carlo Optimization Selection from the paper "A Robust Estimator of the Efficient Frontier"☆56Updated last year
- Source code for Deep Fundamental Factor Models, https://arxiv.org/abs/1903.07677☆60Updated 2 years ago
- By means of stochastic volatility models☆44Updated 5 years ago
- A library for portfolio optimization algorithms with python interface.☆30Updated 4 years ago
- Development space for PhD in Finance☆33Updated 5 years ago
- Machine learning trading method using meta-labeling. You can see the details in 'Advances in Financial Machine Learning' by Lopez de Prad…☆13Updated 3 years ago
- Code base for the meta-labeling papers published with the Journal of Financial Data Science☆80Updated 2 years ago
- ☆27Updated 7 years ago