factor return calculation, mean-variance / Black&Litterman portfolio optimization, risk decomposition
☆32Feb 10, 2019Updated 7 years ago
Alternatives and similar repositories for Active-Portfolio-Management
Users that are interested in Active-Portfolio-Management are comparing it to the libraries listed below. We may earn a commission when you buy through links labeled 'Ad' on this page.
Sorting:
- This project aims to construct the Equity Implied Volatility surface under the Stochastic Volatility Inspired (SVI) model.☆10Mar 18, 2026Updated last week
- A 50ETF Option Volatility Arbitrage Strategy Based on SABR Model☆26Dec 26, 2022Updated 3 years ago
- Mean Variance (Markowitz) Portfolio Optimization and Beyond☆65Apr 25, 2024Updated last year
- A pipeline to optimize a portfolio of assets and test it against unseen data.☆14Jan 17, 2020Updated 6 years ago
- Notes for Active Portfolio Management, by Grinold and Kahn☆47May 17, 2016Updated 9 years ago
- Managed hosting for WordPress and PHP on Cloudways • AdManaged hosting with the flexibility to host WordPress, Magento, Laravel, or PHP apps, on multiple cloud providers. Cloudways by DigitalOcean.
- MV Port is a Python package to perform Mean-Variance Analysis. It provides a Portfolio class with a variety of methods to help on your po…☆11Feb 3, 2026Updated last month
- from for/if/else to my first option back-test function☆21Jul 8, 2020Updated 5 years ago
- applications for risk management through computational portfolio construction methods☆44Sep 18, 2020Updated 5 years ago
- 'Portfolio Analysis, methods for portfolio optimization'☆24Jan 26, 2021Updated 5 years ago
- We apply from rule-based approach to BERT for a sentiment analysis task on financial texts.☆15May 13, 2022Updated 3 years ago
- Portfolio optimization with cvxopt☆40Feb 8, 2026Updated last month
- Asset allocation and Portfolio Management Course @ Baruch MFE☆16Feb 1, 2020Updated 6 years ago
- Apply Box&Tiao to generate stationary price spread series in steel industry commodity futures market for pair trading☆14Dec 11, 2022Updated 3 years ago
- Mean-Variance Optimization using DL (pytorch)☆33Mar 26, 2022Updated 4 years ago
- Managed hosting for WordPress and PHP on Cloudways • AdManaged hosting with the flexibility to host WordPress, Magento, Laravel, or PHP apps, on multiple cloud providers. Cloudways by DigitalOcean.
- A multi-factor stock selection model based on random forest with an average annualized yield of 33.74% from March 2014 to June 2017 when …☆17Feb 24, 2019Updated 7 years ago
- snowball option pricing, Monte Carlo, PDE, Greeks☆10Apr 28, 2023Updated 2 years ago
- This course, taught by Prof.Jerzy in NYU, applies the R programming language to momentum trading, statistical arbitrage (pairs trading), …☆52Aug 19, 2018Updated 7 years ago
- Topic : Option trading Strategies , B&S , Implied Volatility &Stochastic & Local Volatility , Geometric Brownian Motion.☆31Oct 23, 2023Updated 2 years ago
- This repository will be used to organize all the codes and notes written on the Empirical asset pricing course given at the school of eco…☆12Apr 11, 2023Updated 2 years ago
- The Hull-White model is a single-factor interest model used to price interest rate derivatives. The Hull-White model assumes that short r…☆10Jun 2, 2023Updated 2 years ago
- A repository for portfolio allocation based on embedding data representation☆12Jan 27, 2025Updated last year
- Some Quant ideas in Backtrader☆12Jan 12, 2022Updated 4 years ago
- This is a macro database of 570.000+ data series containing International Data (150+ countries), Interest Rates, Inflation, Monetary Data…☆15Apr 11, 2022Updated 3 years ago
- NordVPN Threat Protection Pro™ • AdTake your cybersecurity to the next level. Block phishing, malware, trackers, and ads. Lightweight app that works with all browsers.
- Options are an integral part of hedging strategies, portfolio management and many other facets of the finance industry. And Greeks of an …☆12Jul 10, 2021Updated 4 years ago
- A fundamental equity risk model that decomposes the risk of a portfolio by factors and individual securities☆46Apr 16, 2018Updated 7 years ago
- Algorithmic trading and backtests using backtrader☆13Nov 22, 2022Updated 3 years ago
- Pricing autocallable barrier reverse convertibles (aka snowball structure contract) using monte carlo☆14Feb 2, 2023Updated 3 years ago
- Design of High-Order Portfolios via Mean, Variance, Skewness, and Kurtosis☆27Nov 29, 2022Updated 3 years ago
- Web dashboard to visualize equity factor dynamics using solely publicly available data.☆18Feb 11, 2021Updated 5 years ago
- Open Source Market Risk Measurement for your portfolio.☆24Dec 21, 2025Updated 3 months ago
- Algorithm which quotes bid and ask prices for a stock and its options continuously by defining a bid-ask spread. Further, outstanding del…☆10Jan 11, 2026Updated 2 months ago
- Testing for bubbles with R☆21Oct 19, 2019Updated 6 years ago
- Proton VPN Special Offer - Get 70% off • AdSpecial partner offer. Trusted by over 100 million users worldwide. Tested, Approved and Recommended by Experts.
- ORC wing model calibrator and simulator.☆13Jun 16, 2024Updated last year
- Docker image build for backtrader running on Jupyter Notebook / Anaconda 3 / Python 3☆13Oct 22, 2020Updated 5 years ago
- dateroll makes working with 📅 dates less painful.☆12Apr 17, 2025Updated 11 months ago
- This course focuses on computational methods in option and interest rate, product’s pricing and model calibration. The first module will …☆11Aug 25, 2022Updated 3 years ago
- Black-Litterman model portfolio optimizer☆16Aug 28, 2020Updated 5 years ago
- A deep reinforcement learning model for portfolio management. For more info, check☆14Jun 2, 2020Updated 5 years ago
- Calibration of a Surface SVI☆13Jan 31, 2019Updated 7 years ago