# sanjeevai/multi-factor-model

<https://repo.masters-masters.com/en/repos/sanjeevai/multi-factor-model>

[Home](https://repo.masters-masters.com/en) › [sanjeevai](https://repo.masters-masters.com/en/owners/sanjeevai) › [multi-factor-model](https://repo.masters-masters.com/en/repos/sanjeevai/multi-factor-model)

sanjeevai/multi-factor-model has 135 stars on GitHub. Its RepoMasters card: Prototype tier. Build a statistical risk model using PCA. Optimize the portfolio…

| Field | Value |
| --- | --- |
| Owner | [sanjeevai](https://repo.masters-masters.com/en/owners/sanjeevai) |
| Stars | 135 |
| Forks | 36 |
| Language | [Jupyter Notebook](https://repo.masters-masters.com/en/languages/jupyter-notebook) |
| License | None |
| Created | 2018 |
| Topics | factor-model, alpha, momentum-factor, sharpe-ratio, alpha-factors, factor-returns, risk-model, reversion, portfolio |
| Tier | [Prototype (100 to 249 ★)](https://repo.masters-masters.com/en/ranks/rush) |
| View on GitHub | [sanjeevai/multi-factor-model](https://github.com/sanjeevai/multi-factor-model) |

## Repository

Build a statistical risk model using PCA. Optimize the portfolio using the risk model and factors using multiple optimization formulations.

The tier for repos with 100 to 249 ★. Published odds per card pulled: 70%. Rarity: Common.

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Data: GitHub · Illustration drawn by RepoMasters from the repo’s ID and its language color.