fweilun / Signature-Model

A data-driven mean-variance model with closed form solution on synthetic data.

Signature Method Implementation

A data-driven model with a closed-form solution for dynamically asset allocation. This model optimize portfolio returns on synthetic data given a certain level of volatility.

backtest:

Synthetic daily price data of SPY, AAPL, MSFT generated by SDV.

reference:

1. https://arxiv.org/abs/2308.15135
2. https://arxiv.org/pdf/1603.03788
3. https://github.com/sdv-dev/SDV