Assets' Risk Management Using Mean-Variance Opt Based On Mult-Factors Trending Prediction
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Updated
Mar 31, 2017 - Jupyter Notebook
Assets' Risk Management Using Mean-Variance Opt Based On Mult-Factors Trending Prediction
A MATLAB Realisation of Regime Switching Asset Allocation Strategy
Using Monte-Carlo simulation in order to find the optimal portfolio weights according to several criteras (Sharpe ratio, max drawdown, mean-variance).
DRIP Asset Allocation is a collection of model libraries for MPT framework, Black Litterman Strategy Incorporator, Holdings Constraint, and Transaction Costs.
A Java implementation of the VBA code for the Critical Line Algorithm in the book "Mean-Variance Analysis in Portfolio Choice and Capital Markets" by Harry M. Markowitz
investment portfolio optimization, mean-variance analysis
This code tests the basic idea of my Master thesis. I propose an improved estimator of the covariance matrix of asset returns, employed in the computation of the minimum-variance portfolio. The main.py script tests the out-of-sample performance of this estimator, which is shown to deliver much better results than the sample covariance matrix and…
Mean-Variance Optimization using DL (pytorch)
Mean Variance Optimization for financial portfolio
Optimizing equities portfolios using Mean-Variance Optimization, Robust Mean-Variance Optimization, Risk-Parity (ERC), and One-Fund Theorem
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