risk-parity

There are 3 repositories under risk-parity topic.

• Riskfolio-Lib

  dcajasn / Riskfolio-Lib

  Portfolio Optimization and Quantitative Strategic Asset Allocation in Python

  asset-allocationconvex-optimizationcvar-optimizationcvxpydrawdown-modelduration-matchingefficient-frontierfinanceinvestmentinvestment-analysisportfolio-managementportfolio-optimizationprincipal-components-regressionquantitative-financerisk-contributionrisk-factorsrisk-paritysharpe-ratiostepwise-regressiontrading
  Language:C++ 2851
• skfolio

  skfolio / skfolio

  Python library for portfolio optimization built on top of scikit-learn

  asset-allocationasset-managementconvex-optimizationcvar-optimizationcvxpyefficient-frontierhierarchical-clusteringmachine-learningportfolioportfolio-optimizationquantitative-financequantitative-investmentrisk-parityscikit-learntrading-strategies
  Language:Python 992

• convexfi / riskparity.py

  Fast and scalable construction of risk parity portfolios

  financeoptimizationportfolio-optimizationrisk-parity
  Language:Python 282

• lequant40 / portfolio_allocation_js

  A JavaScript library to allocate and optimize financial portfolios.

  clusteringconvex-optimizationcorrelation-matrixcritical-line-algorithmequal-risk-contributionsfistaindex-trackinglinear-programmingmarkowitzoptimization-algorithmsportfolio-allocationportfolio-optimizationportfolio-selectionquadratic-programmingquantitative-financerisk-budgetingrisk-paritysmo
  Language:JavaScript 172

• jcrichard / pyrb

  Constrained and Unconstrained Risk Budgeting / Risk Parity Allocation in Python

  financeportfolio-optimizationrisk-budgetingrisk-parity
  Language:Python 113
• riskParityPortfolio

  dppalomar / riskParityPortfolio

  Design of Risk Parity Portfolios

  portfolioriskrisk-parityoptimization
  Language:R 101

• coremetro / Risk_Parity

  Risk_Parity strategy 风险平价

  risk-parityportfolio
  Language:Jupyter Notebook 19

• bottama / trading-strategy-backtest

  Backtesting of different trading strategies by applying different Modern Portfolio Theory (MPT) approaches on long-only ETFs portfolios in Python.

  tradingtrading-strategiestrading-algorithmsmodern-portfolio-theorymarkowitzrisk-parityequally-weightedminimum-varianceportfolioasset-managementasset-allocationbacktesting-trading-strategiesbacktestingetf
  Language:Python 18

• tngaspar / factor-risk-parity

  Factor Risk Parity Portfolio Construction algorithm. Built during my Master's. final project. Backtested on the S&P500.

  financeinvestment-portfoliorisk-parity
  Language:Python 9

• sjufan84 / esg_risk_parity

  Constructing a portfolio of crypto and stock assets utlizing ESG scores as well as machine learning models to predict buy / sell signals after establishing asset weights using hierarchical risk parity models.

  cryptocurrencyesginvestingmachine-learningportfolio-constructionrisk-parity
  Language:Jupyter Notebook 7

• l-vicen / Portfolio-Optimizer

  Streamlit app to simulate/optimize different portfolio allocations based on mathematical methods.

  black-littermanmean-variance-optimizationrisk-parity
  Language:Python 6

• AleksLi1 / Adaptive_Regime_Estimation

  Adaptive regime estimation of market conditions based on Maewal and Bock (2018)

  risk-parityfinancial-model
  Language:Python 4

• jacobyxu / PCA_Cluster_Parity_Portfolio

  We Design a PCA Cluster Risk Parity Portfolio

  clusteringfinancemalkovichpcarrisk-parity
  Language:R 3

• vettorefburana / Cluster-analysis-for-finance

  Portfolio evaluation and backtesting using k-means, bounded k-means and hierarchical risk parity

  cluster-portfolioclustering-algorithmportfolio-backtestkmeanshierarchical-clusteringrisk-parityequity-portfolio
  Language:Jupyter Notebook 3

• EricJXShi / Portfolio-Optimization

  Optimizing equities portfolios using Mean-Variance Optimization, Robust Mean-Variance Optimization, Risk-Parity (ERC), and One-Fund Theorem

  equal-risk-contributionsmean-variance-optimizationquadratic-programmingrisk-parityrobust-optimization
  Language:MATLAB 2

• LucasCwy / neural-stock-prophet

  LSTM-ARIMA with Attention and multiplicative decomposition for sophisticated stock forecasting.

  arima-forecastingarima-modelattention-mechanismlstm-neural-networksrisk-analysisrisk-paritystock-analysisstock-price-predictionmultiplicative-decompositionkerastensorflow
  Language:Python 2

• MasterFinHEC / ASSET_PROJECT

  Quantitative Risk and Asset Management Project - HEC Lausanne

  matlabquantitative-financerisk-parityrisk-analysishec-lausannestatisticsdata-analysis
  Language:MATLAB 2

• GiuseppeTT / RiskParityBrazil

  An analysis of risk parity applied to the Brazilian stock market

  risk-paritybrazilr
  Language:R 1

• alvaroalmeidagomez / Risk-Parity

  Risk parity algorithm using reinforcement learning

  reinforcement-learningrisk-parity
  Language:MATLAB 0

• antoniosalomao / MPE_1

  riskparityrisk-parityoptimization-algorithmshierarchical-modelsasset-allocationportfolio-optimizationhierarchical-optimization
  Language:Python