quantmuse / portfolio-optimizer-esg-scoreLinks
Mean-Variance Optimization with ESG score constraint
☆12Updated last year
Alternatives and similar repositories for portfolio-optimizer-esg-score
Users that are interested in portfolio-optimizer-esg-score are comparing it to the libraries listed below
Sorting:
- Option Greeks: Calculation and Visualization☆10Updated 2 years ago
- Backtesting a simple Buy Low Sell High Strategy☆9Updated 3 years ago
- Mock pairs trading strategy and backtesting with Kalman iltering and pair selection using clustering and cointegration.☆11Updated 2 years ago
- An emerging asset class, the recent surge of popularity in crypto markets has made cryptocurrencies an essential part of investment portf…☆10Updated 2 years ago
- A Long/Short Global Macro Strategy based on French Fama 3-Factor Model with a target beta term. We evaluate its sensitivity to variation …☆13Updated 3 years ago
- ☆24Updated 5 years ago
- Apply Box&Tiao to generate stationary price spread series in steel industry commodity futures market for pair trading☆12Updated 2 years ago
- A Practical Application of Hidden Markov Model to Kalman Filter-Based Pairs Trading☆17Updated 4 years ago
- Market making strategies and scientific papers☆13Updated last year
- 回測台指期日內當沖交易,若在開盤後在不同點位進場,持有至收盤出場,統計此交易策略的報酬。☆9Updated 5 months ago
- ☆31Updated 2 years ago
- A 50ETF Option Volatility Arbitrage Strategy Based on SABR Model☆24Updated 2 years ago
- Options are an integral part of hedging strategies, portfolio management and many other facets of the finance industry. And Greeks of an …☆11Updated 4 years ago
- Use total, upper, down, relative volatility factors to find Alpha. Implement whole trading process & back-test with visualization.☆12Updated 4 years ago
- Regime detection in historical markets using Hidden Markov Models (HMM) and Support Vector Machines (SVM).☆20Updated 3 years ago
- This project aims to construct the Equity Implied Volatility surface under the Stochastic Volatility Inspired (SVI) model.☆10Updated 3 months ago
- ☆20Updated 6 years ago
- Modular backtesting tools (Python)☆13Updated 11 months ago
- The project aims to profile stocks with similar weekly percentage returns using K-Means Clustering. The project calculates realized volat…☆12Updated last year
- Crypto-Options Volatility Surface Calibration and Arbitrage☆14Updated 2 years ago
- This Python Jupyter notebook explores conservative "all weather" investment portfolios☆17Updated 2 years ago
- Pricing autocallable barrier reverse convertibles (aka snowball structure contract) using monte carlo☆12Updated 2 years ago
- Automated Trading Bot☆11Updated 7 months ago
- Algorithm which quotes bid and ask prices for a stock and its options continuously by defining a bid-ask credit. Further, outstanding del…☆10Updated 2 years ago
- Example of CTA strategy backtesting.☆15Updated 2 years ago
- Option Strategy for Futures☆14Updated 4 years ago
- PHBS Stochastic Finance Course Website☆29Updated last year
- Hull-White 1/2 Factor Dynamics☆14Updated 2 years ago
- Baruch course - Market Microstructure☆14Updated 9 years ago
- SABR Implied volatility asymptotics☆22Updated 5 years ago