theisij / ml-and-the-implementable-efficient-frontier
Code repository for "Machine Learning and the Implementable Efficient Frontier" by Jensen, Kelly, Malamud, and Pedersen (2024)
☆12Updated 7 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
- ☆22Updated this week
- qmoms package to compute option-implied moments from surface data☆16Updated 8 months ago
- ☆14Updated 3 years ago
- Estimation of the Covariance Matrix - linear and nonlinear shrinkage☆21Updated 2 years ago
- ☆18Updated 6 years ago
- Minimal entropic value at risk (EVaR) portfolio construction under a Gaussian mixture model of returns.☆20Updated 8 months ago
- Pytorch implementation of Deep Hedging, Utility Maximization and Portfolio Optimization☆12Updated 3 months ago
- Recreation of Diebold and Li: Forecasting the term structure of government bond yields in python.☆25Updated 8 years ago
- Source code for Deep Partial Least Squares for Empirical Asset Pricing.☆14Updated 2 years ago
- ☆39Updated 5 years ago
- FactorLab is a python library which enables the transformation of raw data into informative alpha and risk factors used in the investment…☆16Updated 2 years ago
- Winter 2020 Course description: Econometric and statistical techniques commonly used in quantitative finance. Use of estimation applicat…☆37Updated 4 years ago
- ☆23Updated 7 years ago
- A Package for Shrinkage Estimation of Covariance Matrices☆15Updated 11 months ago
- ☆20Updated 3 years ago
- Large Deviations for volatility options☆11Updated 5 years ago
- We implement RSQE and HQE simulation schemes from the paper Efficient simulation of affine forward volatility models.☆13Updated 2 years ago
- ☆20Updated 2 years ago
- Affine Term-Structure Models: Theory and Implementation☆12Updated 4 years ago
- Material for the workshop Machine Learning for Option Pricing, Calibration and Hedging☆15Updated 4 years ago
- Modeling conditional betas with DCC-GARCH and COMFORT-DCC models with application in asset allocation.☆16Updated 5 years ago
- Portfolio Construction Utilizing Lead-Lag Relationship Discovery: Identify leaders and followers in financial markets to inform strategic…☆10Updated last year
- ☆63Updated this week
- Replication of https://ssrn.com/abstract=3984925☆26Updated 9 months ago
- Covariance Matrix Estimation via Factor Models☆33Updated 5 years ago
- Replication Code for Identifying Price Informativeness☆12Updated 3 years ago
- Code and documents from Econ 690 at Duke☆9Updated 2 years ago
- Pricing the Term Structure with Linear Regressions☆35Updated 6 years ago
- Deep Dynamic Factor Models☆15Updated 10 months ago
- Scalable implementation of Lee / Mykland (2012), Ait-Sahalia / Jacod (2012) and Ait-Sahalia / Jacod / Li (2012) Jump tests for noisy hig…☆13Updated 2 years ago