sanjeevai / smart-beta-portfolio-optimization
Built a smart beta portfolio and compared it to a benchmark index by calculating the tracking error. Built a portfolio using quadratic programming to optimize the weights..
☆65Updated 6 years ago
Alternatives and similar repositories for smart-beta-portfolio-optimization:
Users that are interested in smart-beta-portfolio-optimization are comparing it to the libraries listed below
- • Conducted a volatility study to develop pairs trading strategy by writing web crawlers that automated extracting 30 equity and ETF spot…☆45Updated 4 years ago
- A statistical arbitrage strategy on treasury futures using mean-reversion property and meanwhile insensitive to the yield change☆75Updated 6 years ago
- Mean Variance (Markowitz) Portfolio Optimization and Beyond☆62Updated 10 months ago
- Attribution and optimisation using a multi-factor equity risk model.☆31Updated last year
- Contains detailed and extensive notes on quantitative trading, leveraging NLP for finance, backtesting, alpha factor research, portfolio …☆43Updated 2 years ago
- Build a statistical risk model using PCA. Optimize the portfolio using the risk model and factors using multiple optimization formulation…☆129Updated 6 years ago
- Dispersion Trading using Options☆32Updated 7 years ago
- Project description: https://medium.com/@tzhangwps/measuring-financial-turbulence-and-systemic-risk-9d9688f6eec1?source=friends_link&sk=1…☆26Updated 3 weeks ago
- Quantitative Finance using python - Derivatives Pricing☆43Updated 7 years ago
- Python-based portfolio / stock widget which sources data from Yahoo Finance and calculates different types of Value-at-Risk (VaR) metrics…☆117Updated 4 years ago
- Tracking S&P 500 index with deep learning model☆12Updated last year
- Option Pricing, Volatility Prediction, Machine Learning, Black Scholas, Web Crawling☆54Updated 8 years ago
- Python Jupyter Notebooks for Financial Portfolio Optimization☆35Updated 6 years ago
- Implementation of the famous Black-Litterman model in Jupyter notebook☆42Updated 4 years ago
- A model free Monte Carlo approach to price and hedge American options equiped with Heston model, OHMC, and LSM☆107Updated 5 years ago
- ☆24Updated 6 years ago
- Algorithmic Portfolio Hedging. Black-Scholes Pricing for Dynamic Hedges to produce a Dynamic multi-asset Portfolio Hedging with the usage…☆50Updated 4 years ago
- One-off scripts/analysis, usually to accompany my blog posts.☆43Updated 3 years ago
- The Implied Volatility Smirk of Individual Option in S&P 500 Shows its Underlying Asset’s Return☆37Updated 4 years ago
- ☆58Updated last year
- A financial trading method using machine learning.☆60Updated last year
- European/American/Asian option pricing module. BSM/Monte Carlo/Binomial☆94Updated 2 years ago
- This project used GARCH type models to estimate volatility and used delta hedging method to make a profit.☆65Updated 5 years ago
- Portfolio Construction Functions under the Basic Mean_Variance Model, the Factor Model and the Black_Litterman Model.☆40Updated 7 years ago
- Python code for pricing European and American options with examples for individual stock, index, and FX options denominated in USD and Eu…☆24Updated 2 months ago
- Capital Asset Pricing Model implementation in python to analyze stock risk and return.☆26Updated 3 years ago
- three stochastic volatility model: Heston, SABR, SVI☆85Updated 6 years ago
- Visualising correlations between different ETFs using network analytics and Plotly☆34Updated 2 years ago
- Tactical Asset Allocation Advisor using Deep Learning☆17Updated 5 years ago
- Backtest result archive for Momentum Trading Strategies☆50Updated 6 years ago