mscandizzo / PortfolioTheoryLinks
☆39Updated 7 years ago
Alternatives and similar repositories for PortfolioTheory
Users that are interested in PortfolioTheory are comparing it to the libraries listed below
Sorting:
- The Implied Volatility Smirk of Individual Option in S&P 500 Shows its Underlying Asset’s Return☆37Updated 4 years ago
- European/American/Asian option pricing module. BSM/Monte Carlo/Binomial☆98Updated 2 years ago
- Rewriting the code in "Machine Learning for Factor Investing" in Python☆89Updated 4 years ago
- ☆106Updated 8 years ago
- Assignments submitted for the Certification in Quantitative Finance (CQF) 2016☆35Updated 7 years ago
- Computing a solution for the optimal mean-variance tradeoff (maximising Sharpe Ratio) of a portfolio according to MPT.☆49Updated 5 years ago
- Listed Volatility and Variance Derivatives (Wiley Finance)☆148Updated 3 years ago
- ☆73Updated 3 years ago
- quantitative security portfolio analysis. The analysis pipeline including data storage abstraction, alpha calculation, ML based alpha com…☆233Updated 2 years ago
- backtrader documentation☆61Updated 2 years ago
- An internship project: Implement Barra model to take risk or style factor attribution based on multi-factor model.☆64Updated 7 years ago
- Pair Trading Strategy using Machine Learning written in Python☆119Updated 3 years ago
- Black-Litterman Model in python☆16Updated 7 years ago
- Notebook for <Advances in Financial Machine Learning> using Python 3.7☆43Updated 6 years ago
- Implementation of 5-factor Fama French Model☆126Updated 4 years ago
- three stochastic volatility model: Heston, SABR, SVI☆90Updated 6 years ago
- An internship project: Implement Barra model to take risk or style factor attribution based on multi-factor model.☆122Updated 5 years ago
- Repository containing the code for a pairs trading investment strategy (Master Thesis in Electrical and Computer Engineering - Técnico Li…☆165Updated 5 years ago
- Research and Backtests I have been working on...enjoy☆70Updated 4 years ago
- Successful Algorithmic Trading by Michael L. Halls-Moore☆47Updated 8 years ago
- I will upload and update my quant strategies here☆56Updated 6 years ago
- Trading Evolved book code☆71Updated 5 years ago
- This project explores the way to construct the multiple factor risk model to calculate the risk contribution of each factor and the total…☆72Updated 7 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…☆65Updated 4 years ago
- Portfolio Construction Functions under the Basic Mean_Variance Model, the Factor Model and the Black_Litterman Model.☆40Updated 7 years ago
- Python-based portfolio / stock widget which sources data from Yahoo Finance and calculates different types of Value-at-Risk (VaR) metrics…☆120Updated 4 years ago
- Machine Learning Algorithms For VWAP Prediction☆47Updated 6 years ago
- Repository of Python for Finance Cookbook, published by Packt☆86Updated 4 years ago
- Build a statistical risk model using PCA. Optimize the portfolio using the risk model and factors using multiple optimization formulation…☆131Updated 6 years ago
- ☆51Updated 8 years ago