PrototypeCommon
sanjeevai/multi-factor-model
Build a statistical risk model using PCA. Optimize the portfolio using the risk model and factors using multiple optimization formulations.
- Owner
- sanjeevai (personal account)
- Stars
- Stars: 135
- Forks
- Forks: 36
- Language
- Jupyter Notebook
- License
- None
- Created
- 2018
- Topics
- factor-modelalphamomentum-factorsharpe-ratioalpha-factorsfactor-returnsrisk-modelreversionportfolio
- Tier
- Prototype (100 to 249 ★) What this tier means
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