theisij / ml-and-the-implementable-efficient-frontierLinks
Code repository for "Machine Learning and the Implementable Efficient Frontier" by Jensen, Kelly, Malamud, and Pedersen (2024)
☆16Updated 5 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:
- ☆27Updated last month
- ☆73Updated 2 years ago
- Replication of https://ssrn.com/abstract=3984925☆44Updated last year
- Imputing missing stock anomalies data with EM implementation☆13Updated last year
- Winter 2020 Course description: Econometric and statistical techniques commonly used in quantitative finance. Use of estimation applicat…☆39Updated 4 years ago
- Replicate "Bond Risk Premia" by John H. Cochrane, Monika Piazzesi in Python☆12Updated 2 years ago
- A Package for Shrinkage Estimation of Covariance Matrices☆16Updated last year
- ☆50Updated 6 months ago
- Calculate U.S. equity (portfolio) characteristics☆95Updated last year
- qmoms package to compute option-implied moments from surface data☆21Updated last year
- ☆23Updated 8 years ago
- https://papers.ssrn.com/sol3/papers.cfm?abstract_id=3350138☆135Updated 4 years ago
- Replication of momentum strategy☆18Updated 3 years ago
- Python package designed to construct and replicate datasets from Ken French's online library by accessing WRDS remotely through its cloud…☆39Updated last month
- Recreation of Diebold and Li: Forecasting the term structure of government bond yields in python.☆26Updated 9 years ago
- Python modules for time-series analysis and empirical asset pricing.☆18Updated 5 years ago
- A python implementation of McCracken & Ng (2017) Matlab code which is used to estimate factor models and make predictions on the basis of…☆17Updated 5 years ago
- Replication of key GARCH model papers☆34Updated 9 years ago
- Code for "Methodological Uncertainty in Portfolio Sorts".☆19Updated last year
- A Python implementation of the Longstaff-Schwartz linear regression algorithm for the evaluation of call rights an American options.☆43Updated last year
- ☆15Updated 4 years ago
- Affine Term-Structure Models: Theory and Implementation☆13Updated 5 years ago
- Replication Code for Identifying Price Informativeness☆13Updated 4 years ago
- MATLAB Toolkit that accompanies Novy-Marx and Velikov (2023)☆41Updated 2 years ago
- A cursory look at the dynamics of zero coupon bond yield curves.☆13Updated 2 years ago
- Pricing the Term Structure with Linear Regressions☆40Updated 7 years ago
- These are notes for macroeconomic analysis, summarised in past years for macro trading/analysis.☆30Updated 3 years ago
- Heterogeneous Autoregressive model of Realized Volatility (HAR-RV), introduced by F Corsi (2009).☆12Updated 4 years ago
- Python Package: Fitting and Forecasting the yield curve☆37Updated 4 years ago
- FactorLab is a python library which enables the transformation of raw data into informative alpha and risk factors used in the investment…☆24Updated 3 years ago