/equity-risk-model

Attribution and optimisation using a multi-factor equity risk model.

Primary LanguageJupyter NotebookMIT LicenseMIT

equity-risk-model

Risk attribution and optimisation using a multi-factor equity risk model.

Includes functionality to:

  • Calculate risk, risk contributions and risk concentration measures
  • Optimise a portfolio to be factor neutral or tolerant

The directory notebooks contains some jupyter notebooks which provide a starting point to exploring and developing equity risk models. It is by no means comprehensive, so the usual caveats apply.