akashprem12 / Portfolio-Optimisation-using-Monte-Carlo-Simulation
Modern Portfolio Theory (MPT), a hypothesis put forth by Harry Markowitz in his paper “Portfolio Selection,” (published in 1952 by the Journal of Finance) is an investment theory based on the idea that risk-averse investors can construct portfolios to optimize or maximize expected return based on a given level of market risk, emphasizing that ri…
☆10Updated 6 years ago
Related projects ⓘ
Alternatives and complementary repositories for Portfolio-Optimisation-using-Monte-Carlo-Simulation
- Multi Factor Stock Selection Model with XGBoost Tree Boosting☆8Updated last year
- 【Framework】A Multi Factor Strategy based on XGboost, its my homework project in Tsinghua, the Introduction to Quantitative Finance, 2019 …☆15Updated last year
- Deep Reinforcement Learning Framework for Factor Investing☆22Updated last year
- This repository shows the application of PCA technique for risk factor modelling of financial securities.☆17Updated 4 years ago
- 多因子模型相关☆21Updated 3 years ago
- ☆16Updated 8 years ago
- 雪球结构产品定价☆23Updated last year
- A 50ETF Option Volatility Arbitrage Strategy Based on SABR Model☆22Updated last year
- Stock risk premium prediction via FM/ EXT/ GBDT/ XGB/LBGM. Mengxuan Chen's graduation thesis at WHU.☆12Updated 4 years ago
- SABR Implied volatility asymptotics☆22Updated 4 years ago
- Equity return and characteristics of China A-Share market☆13Updated 11 months ago
- factor return calculation, mean-variance / Black&Litterman portfolio optimization, risk decomposition☆28Updated 5 years ago
- Non-Linear Covariance Shrinkage☆14Updated 2 years ago
- CQF Project based on introducing Pair Trading for Energy Stocks with VAR (Vector Autoregression), Engle Granger Approach, Backtesting, Op…☆14Updated 5 years ago
- 量化研究-多因子模型☆18Updated last year
- Multivariate DCC-GARCH model☆14Updated 6 years ago
- ☆15Updated 6 years ago
- ☆15Updated 3 years ago
- Attribution and optimisation using a multi-factor equity risk model.☆30Updated 9 months ago
- This project is to apply Copula Function to pair trading strategy both in American stock market.☆23Updated 6 years ago
- Pricing autocallable barrier reverse convertibles (aka snowball structure contract) using monte carlo☆12Updated last year
- ☆16Updated 7 years ago
- This course focuses on computational methods in option and interest rate, product’s pricing and model calibration. The first module will …☆10Updated 2 years ago
- Q-quant和因子投资实证汇总☆19Updated 3 years ago
- Implemented some mathematical processings used in the Barra risk model☆25Updated last year
- This is a course project of the course « Machine Learning for Finance » at ENSAE ParisTech.☆44Updated 5 years ago
- This project implements the following models to value options in Python: 1. Black-Scholes model 2. Bachelier model 3. Black76 model 4. Di…☆16Updated 5 years ago
- XGBoost is known to be fast and achieve good prediction results as compared to the regular gradient boosting libraries. This project atte…☆27Updated 5 years ago
- ARIMA & GARCH models for stock price prediction☆17Updated 4 years ago
- Topic : Option trading Strategies , B&S , Implied Volatility &Stochastic & Local Volatility , Geometric Brownian Motion.☆21Updated last year