simonyanchen / ChinaEquityRiskModelLinks
Fundamental Factor Model based on Bloomberg
☆11Updated 8 years ago
Alternatives and similar repositories for ChinaEquityRiskModel
Users that are interested in ChinaEquityRiskModel are comparing it to the libraries listed below
Sorting:
- Risk_Budgeting is a Python project that uses the risk budgeting approach for portfolio asset allocation☆23Updated 8 years ago
- FactorLab is a python library which enables the transformation of raw data into informative alpha and risk factors used in the investment…☆27Updated 3 years ago
- Risk estimation algorithms☆30Updated 7 years ago
- Code for various data snooping tests on financial time series.☆22Updated 10 years ago
- Portfolio Construction Functions under the Basic Mean_Variance Model, the Factor Model and the Black_Litterman Model.☆41Updated 7 years ago
- Estimating Value-at-Risk with a recurrent neural network (Jordan type) GARCH model☆71Updated 6 years ago
- create all-weather risk parity weights and back-test☆35Updated 3 years ago
- Covariance Matrix Estimation via Factor Models☆37Updated 6 years ago
- Simulate and estimate volatility by GARCH with/without leverage, riskmetriks. Compute Value-at-Risk and Test on VaR Violation☆24Updated 7 years ago
- Reading notes and Python implementation for book "Machine Learning for Factor Investing" by Silkdust☆12Updated 2 years ago
- Replication of key GARCH model papers☆36Updated 9 years ago
- Pairs trading strategy that includes a research pipeline for identifying and selecting pairs. Tests all possible pairs in a universe for …☆35Updated last year
- Attribution and optimisation using a multi-factor equity risk model.☆33Updated last year
- Semi-automated investing strategy (risk parity)☆28Updated 9 years ago
- Python Code for Meucci Related Blog Posts☆15Updated 9 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…☆75Updated 7 years ago
- ☆55Updated 4 months ago
- Pricing the Term Structure with Linear Regressions☆42Updated 7 years ago
- CVXPY Portfolio Optimization Sample☆45Updated 8 years ago
- Elements of Financial Risk Management in Python☆12Updated 4 years ago
- ☆106Updated 8 years ago
- Python Package: Fitting and Forecasting the yield curve☆38Updated 4 years ago
- Risk Parity and Factors Model on multi asseet management☆23Updated 4 years ago
- Composite Indicators Framework for Business Cycle Analysis☆63Updated 3 years ago
- Functions for the construction of risk-based portfolios☆54Updated 4 years ago
- Reimplementing QuantLib examples by Python☆66Updated 3 years ago
- This repository provides the implementation of a handful of forecasting methods in yield curve modelling.☆25Updated 4 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
- ☆18Updated 7 years ago
- ☆25Updated 7 years ago