momentum-factor

There are 0 repository under momentum-factor topic.

• sanjeevai / multi-factor-model

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

  factor-modelalphamomentum-factorsharpe-ratioalpha-factorsfactor-returnsrisk-modelreversionportfolio
  Language:Jupyter Notebook 111

• anthonyli01 / Multi-Factor-Portfolios

  University Project: constructing portfolios by blending different types of factor portfolios (low-beta, value, and momentum). We investigate different techniques to weight our portfolio and calculating a combined score.

  back-testingfactor-investingmomentum-factoroptimisationperformance-analysisportfolio-constructionvaluelow-beta
  Language:Jupyter Notebook 2