nicholashestand / Active_Portfolio_ManagementLinks
Solutions to Active Portfolio Management (Second Edition) by Grinold and Kahn
☆107Updated 4 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☆145Updated 8 years ago
- Supplemental Material for Algorithmic Trading and Quantitative Strategies☆301Updated 4 years ago
- Implementation of 5-factor Fama French Model☆135Updated 4 years ago
- This repository hosts my reading notes for academic papers.☆91Updated 4 years ago
- Barra Multifactor Model☆154Updated 5 years ago
- Provide risk forecasts by Barra China Equity Model☆169Updated 7 years ago
- An internship project: Implement Barra model to take risk or style factor attribution based on multi-factor model.☆122Updated 5 years ago
- ☆150Updated 7 months ago
- An workflow in factor-based equity trading, including factor analysis and factor modeling. For well-established factor models, I implemen…☆378Updated 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…☆70Updated 4 years ago
- An internship project: Implement Barra model to take risk or style factor attribution based on multi-factor model.☆66Updated 7 years ago
- Rewriting the code in "Machine Learning for Factor Investing" in Python☆93Updated 4 years ago
- Constrained and Unconstrained Risk Budgeting / Risk Parity Allocation in Python☆129Updated 2 years ago
- FFT-based Option Pricing Methods in Python☆59Updated 7 years ago
- 基于万矿平台，对alpha101因子进行测试并构造多因子策略☆92Updated 6 years ago
- Material accompanying the MOSEK Portfolio Optimization Cookbook☆99Updated last year
- Implemented some mathematical processings used in the Barra risk model☆31Updated 2 years ago
- quantitative security portfolio analysis. The analysis pipeline including data storage abstraction, alpha calculation, ML based alpha com…☆235Updated 3 years ago
- Machine Learning-Driven Quantamental Investing☆140Updated 5 years ago
- three stochastic volatility model: Heston, SABR, SVI☆91Updated 6 years ago
- Build a statistical risk model using PCA. Optimize the portfolio using the risk model and factors using multiple optimization formulation…☆134Updated 6 years ago
- stock☆95Updated 4 years ago
- ☆52Updated 8 years ago
- Benchmark Dataset of Limit Order Book in China Markets☆214Updated 4 years ago
- Feature engineering of a Limit Order Book. Extraction of features from a LOB in order to analyse the behaviour of trade market.☆242Updated 3 years ago
- The book <Advanced Algorithmic Trading> and its source code☆61Updated 7 years ago
- World Quant 101 alphas的计算和策略化☆305Updated 8 years ago
- ☆115Updated 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☆126Updated 5 years ago
- the book with script☆80Updated 8 years ago