Multi-Factor Portfolio Construction
A Risk-Based Approach
About The Repository
Repo of the code used while writing my master thesis.
The main objective was to build and backtest a Factor Risk parity Investement strategy.
Factor Risk Parity Portfolio Construction algorithm. Built during my Master's. final project. Backtested on the S&P500.
The main objective was to build and backtest a Factor Risk parity Investement strategy.
Factor Risk Parity Portfolio Construction algorithm. Built during my Master's. final project. Backtested on the S&P500.