multi-factor-model

multi-factor-model

sanjeevai

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

portfolio
View on GitHub
135 Stars
36 Forks
6 Watchers
Jupyter Notebook Language
100 SrcLog Score
Cost to Build
$14.5K
Market Value
$24.8K
How is this calculated?

Growth over time

13 data points  ·  2021-08-01 → 2026-11-01
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What is the sanjeevai/multi-factor-model GitHub project? Description: "Build a statistical risk model using PCA. Optimize the portfolio using the risk model and factors using multiple optimization formulations.". Written in Jupyter Notebook. Explain what it does, its main use cases, key features, and who would benefit from using it.

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How to clone multi-factor-model

Clone via HTTPS

git clone https://github.com/sanjeevai/multi-factor-model.git

Clone via SSH

[email protected]:sanjeevai/multi-factor-model.git

Download ZIP

Download master.zip

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