Portfolio Construction Functions under the Basic Mean_Variance Model, the Factor Model and the Black_Litterman Model.
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Dec 27, 2017 - Python
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mean-variance-model
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Implement CER Model & Single Index Model with Point Estimation & Interval Estimation. Use Classical method & Non-parametric Bootstrap (Percentile method, T method).
quantitative-analysis single-index-models point-estimate-methods mean-variance-model risk-return-predictive-analysis bootstrapping-estimate-methods interval-estimate
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Jan 29, 2020 - Python
options risk stock stock-market etf mean-variance-optimization risk-management options-trading mean-variance-model mean-variance-analysis put-option
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Apr 22, 2020 - Python
Supplementary materials for the manuscript "Latent-class trajectory modeling with a heterogeneous mean-variance relation" by N. G. P. Den Teuling, F. Ungolo, S.C. Pauws, and E.R. van den Heuvel
bayesian-inference simulation-study mean-variance-model heteroskedasticity longitudinal-analysis latent-class-analysis covid-19 growth-mixture-modeling longitudinal-clustering
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Mar 19, 2025 - R
mean stock stock-market variance mean-variance-optimization standard-deviation stock-market-analysis mean-variance-model mean-variance-analysis
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Sep 26, 2020 - Python
End-to-end portfolio construction systems exemplify modern quantitative investing where machine learning and optimization are tightly coupled to drive better portfolio outcomes. This repository contains a Jupyter notebook that illustrates a mean-variance end-to-end system and compares it to bechmark models.
performance-testing portfolio-allocation mean-variance-model data-driven-decisions integrated-learning second-order-cone-programming decision-focused-learning task-specific-model
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Jun 4, 2025 - Jupyter Notebook
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