multi-factor-model

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

portfolio

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133 Stars

38 Forks

133 Watchers

Jupyter Notebook Language

100 SrcLog Score

Cost to Build

$13.9K

Market Value

$25.4K

How is this calculated?

Growth over time

8 data points · 2021-08-01 → 2026-04-01

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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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