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7 search results found

Crosssection ⭐ 516

Code to accompany our paper Chen and Zimmermann (2020), "Open source cross-sectional asset pricing"

Python_portfolio__var_tool ⭐ 62

Python-based portfolio / stock widget which sources data from Yahoo Finance and calculates different types of Value-at-Risk (VaR) metrics and many other (ex-post) risk/return characteristics both on an individual stock and portfolio-basis, stand-alone and vs. a benchmark of choice (constructed with wxPython)

Performance Attribution for Equity Portfolios

Random Portfolio Vs Benchmark Strategy ⭐ 14

Python Monte Carlo Simulation to model returns from randomly generated portfolios against a benchmark index.

Crsp Whitepaper ⭐ 13

Center for Research of Securities Prices

Data Science ⭐ 9

My road to becoming a deep learning master!

Smart Beta Portfolio Optimization ⭐ 7

Built a smart beta portfolio and compared it to a benchmark index by calculating the tracking error. Built a portfolio using quadratic programming to optimize the weights..

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