nicholashestand / Active_Portfolio_ManagementLinks
Solutions to Active Portfolio Management (Second Edition) by Grinold and Kahn
☆100Updated 3 years ago
Alternatives and similar repositories for Active_Portfolio_Management
Users that are interested in Active_Portfolio_Management are comparing it to the libraries listed below
Sorting:
- Barra-Multiple-factor-risk-model☆141Updated 8 years ago
- Barra Multifactor Model☆143Updated 5 years ago
- Provide risk forecasts by Barra China Equity Model☆166Updated 6 years ago
- An internship project: Implement Barra model to take risk or style factor attribution based on multi-factor model.☆64Updated 7 years ago
- Supplemental Material for Algorithmic Trading and Quantitative Strategies☆291Updated 4 years ago
- An internship project: Implement Barra model to take risk or style factor attribution based on multi-factor model.☆122Updated 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…☆65Updated 4 years ago
- Implementation of 5-factor Fama French Model☆126Updated 4 years ago
- Rewriting the code in "Machine Learning for Factor Investing" in Python☆89Updated 4 years ago
- This repository hosts my reading notes for academic papers.☆87Updated 3 years ago
- ☆144Updated 2 months ago
- Constrained and Unconstrained Risk Budgeting / Risk Parity Allocation in Python☆127Updated 2 years ago
- Machine Learning-Driven Quantamental Investing☆132Updated 5 years ago
- An workflow in factor-based equity trading, including factor analysis and factor modeling. For well-established factor models, I implemen…☆364Updated 6 years ago
- 以wind为数据源的基金单期brinson业绩归因☆82Updated 5 years ago
- Benchmark Dataset of Limit Order Book in China Markets☆207Updated 4 years ago
- Barra CNE6 因子构建☆303Updated 5 years ago
- three stochastic volatility model: Heston, SABR, SVI☆90Updated 6 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☆125Updated 5 years ago
- 因子构建、单因子测试☆71Updated 4 years ago
- High frequency factors based on order and trade data.☆53Updated last year
- 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…☆147Updated 5 years ago
- 一个基于中国市场的Fama-French五因子实证研究☆36Updated 2 years ago
- Material accompanying the MOSEK Portfolio Optimization Cookbook☆93Updated 10 months ago
- Implemented some mathematical processings used in the Barra risk model☆28Updated 2 years ago
- Recurrent Neural Network for predicting Stock Returns☆121Updated 3 years ago
- 分享量化投资相关的论文,代码和代码复现。☆82Updated 2 years ago
- 多因子模型相关☆22Updated 4 years ago
- ☆51Updated 8 years ago
- Built a practical Multi-Factor Backtesting Framework from scratch based on Huatai Security's(One of China's largest sell side) financial …☆62Updated 2 years ago