wangy8989 / Active-Portfolio-ManagementLinks
factor return calculation, mean-variance / Black&Litterman portfolio optimization, risk decomposition
☆31Updated 6 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
Sorting:
- Implements different approaches to tactical and strategic asset allocation☆43Updated last year
- A 50ETF Option Volatility Arbitrage Strategy Based on SABR Model☆25Updated 3 years ago
- Rewriting the code in "Machine Learning for Factor Investing" in Python☆93Updated 4 years ago
- Portfolio Construction Functions under the Basic Mean_Variance Model, the Factor Model and the Black_Litterman Model.☆41Updated 8 years ago
- quantitative asset allocation strategy☆34Updated 11 months ago
- A dynamic factor model to forecasts inflation, i.e. CPI, PPI. WindAPI is required to extract vintages.☆16Updated 4 years ago
- Mean Variance (Markowitz) Portfolio Optimization and Beyond☆64Updated last year
- Quantitative analysis of fundamentals in quarterly reports by Machine Learning☆23Updated 5 years ago
- Attribution and optimisation using a multi-factor equity risk model.☆35Updated last year
- FactorLab is a python library which enables the transformation of raw data into informative alpha and risk factors used in the investment…☆28Updated 3 years ago
- Using Python and Tushare financial database☆29Updated last year
- Predictive yield curve modeling in reduced dimensionality☆43Updated 2 years ago
- Implementation of the famous Black-Litterman model in Jupyter notebook☆41Updated 5 years ago
- Project description: https://medium.com/@tzhangwps/measuring-financial-turbulence-and-systemic-risk-9d9688f6eec1?source=friends_link&sk=1…☆26Updated 10 months ago
- Contains detailed and extensive notes on quantitative trading, leveraging NLP for finance, backtesting, alpha factor research, portfolio …☆50Updated 3 years ago
- ☆41Updated 4 years ago
- Deep Reinforcement Learning Framework for Factor Investing☆30Updated 2 years ago
- Python Package: Fitting and Forecasting the yield curve☆38Updated 4 years ago
- Modeling the S&P500 index as a hidden markov model for regime identification and creating a trading algorithm to capitalize on hidden sta…☆38Updated 5 years ago
- ☆24Updated 4 years ago
- Foreign Exchange Forecasting Model created for the paper "Can Interest Rate Factors Explain Rate Fluctuations?"☆36Updated 3 years ago
- Implementation of a variety of Value-at-Risk backtests☆42Updated 6 years ago
- Asset allocation and Portfolio Management Course @ Baruch MFE☆15Updated 5 years ago
- ☆19Updated 9 years ago
- Recreation of Diebold and Li: Forecasting the term structure of government bond yields in python.☆26Updated 9 years ago
- Built a smart beta portfolio and compared it to a benchmark index by calculating the tracking error. Built a portfolio using quadratic pr…☆68Updated 6 years ago
- Estimating Option-Implied Probability Distributions for Equity Pricing☆11Updated 5 years ago
- Reading notes and Python implementation for book "Machine Learning for Factor Investing" by Silkdust☆12Updated 2 years ago
- Get breakeven volatility through Delta Hedging and Gamma Hedging; Fit the volatility smile by SABR and SVI model☆18Updated 5 years ago
- three stochastic volatility model: Heston, SABR, SVI☆92Updated 6 years ago