theisij / ml-and-the-implementable-efficient-frontierLinks
Code repository for "Machine Learning and the Implementable Efficient Frontier" by Jensen, Kelly, Malamud, and Pedersen (2024)
☆20Updated 10 months ago
Alternatives and similar repositories for ml-and-the-implementable-efficient-frontier
Users that are interested in ml-and-the-implementable-efficient-frontier are comparing it to the libraries listed below
Sorting:
- ☆78Updated 3 years ago
- Replication of https://ssrn.com/abstract=3984925☆53Updated last year
- ☆52Updated 2 months ago
- Python Package: Fitting and Forecasting the yield curve☆38Updated 4 years ago
- ☆34Updated 6 months ago
- Imputing missing stock anomalies data with EM implementation☆15Updated last year
- A Package for Shrinkage Estimation of Covariance Matrices☆16Updated last year
- Recreation of Diebold and Li: Forecasting the term structure of government bond yields in python.☆27Updated 9 years ago
- ☆13Updated last year
- FactorLab is a python library which enables the transformation of raw data into informative alpha and risk factors used in the investment…☆29Updated 3 years ago
- Calculate U.S. equity (portfolio) characteristics☆107Updated last year
- qmoms package to compute option-implied moments from surface data☆25Updated last year
- https://papers.ssrn.com/sol3/papers.cfm?abstract_id=3350138☆144Updated 4 years ago
- code for turning data sets into trading strategies☆39Updated last month
- The pricing models and neural network representations used in part one of the paper "Empirical analysis of rough and classical stochastic…☆62Updated 7 months ago
- Winter 2020 Course description: Econometric and statistical techniques commonly used in quantitative finance. Use of estimation applicat…☆45Updated 5 years ago
- ☆109Updated 4 years ago
- MATLAB Toolkit that accompanies Novy-Marx and Velikov (2023)☆44Updated 2 years ago
- ☆24Updated 8 years ago
- ☆15Updated 4 years ago
- Replication of key GARCH model papers☆37Updated 9 years ago
- Code for "Methodological Uncertainty in Portfolio Sorts".☆20Updated last year
- Replicate "Bond Risk Premia" by John H. Cochrane, Monika Piazzesi in Python☆12Updated 2 years ago
- Multivariate GARCH modelling in Python☆16Updated last year
- Instrumented Principal Components Analysis☆245Updated 3 years ago
- Empirical Data and Some Simulation Codes☆109Updated 6 years ago
- DCC-GARCH(1,1) for multivariate normal distribution.☆62Updated 2 years ago
- Affine Term-Structure Models: Theory and Implementation☆14Updated 5 years ago
- Python modules for time-series analysis and empirical asset pricing.☆18Updated 5 years ago
- Pricing the Term Structure with Linear Regressions☆42Updated 7 years ago