使用Python复现Black-Litterman模型。Black-Litterman模型创造性地采用贝叶斯方法将投资者对预期收益的主观看法与资产的市场均衡收益相结合，有效地解决了Markowitz均值-方差模型中投资者难以准确估计各个投资品种预期收益率、以及其权重对预期收益率的极度敏感性这两大问题。本项目使用美国市场2009年-2019年十年间的10只股票数据进行回测，证明了合理观点对资产组合收益率具有显著的正面影响效果。
☆153May 17, 2020Updated 6 years ago
Alternatives and similar repositories for Black-Litterman-Model
Users that are interested in Black-Litterman-Model are comparing it to the libraries listed below. We may earn a commission when you buy through links labeled 'Ad' on this page.
Sorting:
- Robo Advisor with Black-Litterman☆42Apr 15, 2021Updated 5 years ago
- 一套基于SVM与现代投资组合理论的量化框架☆27May 26, 2020Updated 6 years ago
- Used for study of company. 用于公司研究, 包括公司财报分析, 公司估值等, 使用了python的编译器ply的lexer,yacc来处理非结构化数据,采用神经网络来预测市场趋势.☆15Dec 8, 2022Updated 3 years ago
- Computing a solution for the optimal mean-variance tradeoff (maximising Sharpe Ratio) of a portfolio according to MPT.☆49Jun 16, 2020Updated 6 years ago
- Portfolio Construction Functions under the Basic Mean_Variance Model, the Factor Model and the Black_Litterman Model.☆40Dec 27, 2017Updated 8 years ago
- Managed Database hosting by DigitalOcean • AdPostgreSQL, MySQL, MongoDB, Kafka, Valkey, and OpenSearch available. Automatically scale up storage and focus on building your apps.
- Risk_Parity strategy 风险平价☆32May 1, 2020Updated 6 years ago
- Barra CNE6 因子构建☆367Jan 20, 2020Updated 6 years ago
- An internship project: Implement Barra model to take risk or style factor attribution based on multi-factor model.☆76Dec 20, 2017Updated 8 years ago
- 统计美股近几年涨幅特别大的股票，在A股找到相关的股票☆13Jan 31, 2016Updated 10 years ago
- Implementation of the famous Black-Litterman model in Jupyter notebook☆42Jun 26, 2020Updated 5 years ago
- 量化FOF框架☆13Mar 8, 2019Updated 7 years ago
- 资产配置方案项目☆34Nov 18, 2020Updated 5 years ago
- A risk evaluation program that follows BARRA's CNE6 and USE4 risk model to predict the risk and distribution of factors in a portfolio. C…☆80Dec 11, 2020Updated 5 years ago
- 基金筛选系统升级☆18Nov 29, 2021Updated 4 years ago
- Deploy on Railway without the complexity - Free Credits Offer • AdConnect your repo and Railway handles the rest with instant previews. Quickly provision container image services, databases, and storage volumes.
- 美国股票爬取（NASDAQ，AMEX，NYSE）☆16Nov 24, 2016Updated 9 years ago
- 重新造轮子构建投资组合框架，适合大类资产配置和股票交易。☆53Mar 24, 2018Updated 8 years ago
- 低风险投资之可转债 可转债量化分析☆247Jan 22, 2026Updated 4 months ago
- Implemented the paper Kinlaw, W., Kritzman, M., & Turkington, D. (2019). Crowded trades: Implications for sector rotation and factor timi…☆22Mar 18, 2021Updated 5 years ago
- Barra-Multiple-factor-risk-model☆153Apr 7, 2017Updated 9 years ago
- It is suitable for beginners☆49Aug 28, 2020Updated 5 years ago
- VNPY CTP ONLY 专注于VNPY框架上的CTP期货开发与完善☆15Apr 4, 2019Updated 7 years ago
- 基于论文《Do Industries Explain Momentum》对行业动量策略在A股市场的有效性进行探究☆11Jul 19, 2019Updated 6 years ago
- 参照最新债券收益率计算方法计算债券的全价、净价、现金流、敏感性分析(久期、修正久期、关键期限久期、凸性)，以及单个债券及组合 VaR☆18May 10, 2017Updated 9 years ago
- Managed Database hosting by DigitalOcean • AdPostgreSQL, MySQL, MongoDB, Kafka, Valkey, and OpenSearch available. Automatically scale up storage and focus on building your apps.
- 以wind为数据源的基金单期brinson业绩归因☆89Jan 23, 2020Updated 6 years ago
- Build a statistical risk model using PCA. Optimize the portfolio using the risk model and factors using multiple optimization formulation…☆134Dec 31, 2018Updated 7 years ago
- python量化分析股票的投资组合☆18Jul 12, 2017Updated 8 years ago
- ☆155Jun 9, 2026Updated last week
- Markowitz portfolio optimization on synthetic and real stocks☆80Dec 20, 2017Updated 8 years ago
- 本项目对美股股票的涨跌进行了研究，从问题出发并提出猜想，然后定义了机器学习的实验任务。通过多次实验得到实验数据，最终证明了所提出的猜想：中国股市确实和美国股市存在着一定的联系，并且通过这些隐含的联系可以预测某些美国股票的涨跌。☆45Jun 20, 2016Updated 9 years ago
- Python Package: Fitting and Forecasting the yield curve☆41Feb 25, 2021Updated 5 years ago
- some interest rate models such as Vasicek and dynamic Nelson-Siegel model☆20May 26, 2020Updated 6 years ago
- QARandomPrice_TickPrice_by_OU process☆11May 18, 2020Updated 6 years ago
- Deploy open-source AI quickly and easily - Special Bonus Offer • AdRunpod Hub is built for open source. One-click deployment and autoscaling endpoints without provisioning your own infrastructure.
- 基于机器学习方法构建多因子选股模型：RandomForest, GBDT, Adaboots, xgboost，MLP, Linear Model, LSTM☆236Apr 9, 2020Updated 6 years ago
- A dynamic factor model to forecasts inflation, i.e. CPI, PPI. WindAPI is required to extract vintages.☆16Jan 1, 2021Updated 5 years ago
- BackTrader中文教程笔记（by：量化投资与机器学习），系统性介绍Bactrader的特性、策略构建、数据结构、回测交易等，彻底掌握量化神器的使用方法。章节：介绍篇、数据篇、指标篇、交易篇、策略篇、可视化篇……（持续更新中）☆2,181Oct 21, 2021Updated 4 years ago
- A collection of numerical methods in Python. Includes root finding, interpolation, least squares, differentiation, integration, Monte Car…☆19Nov 28, 2015Updated 10 years ago
- 股票交易提醒，当股价到达设定值时通过微信告诉用户☆11Oct 16, 2020Updated 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 …☆17Feb 24, 2019Updated 7 years ago
- Crypto-Options Volatility Surface Calibration and Arbitrage☆17Dec 26, 2022Updated 3 years ago