/quantallocation

A collection of quantitative finance notebooks. Including MPT, Monte Carlo simulations and Machine Learning algorithms

Primary LanguageJupyter NotebookMIT LicenseMIT

quantallocation

A collection of quantitative finance notebooks, including:

  1. Monte Carlo Simulation of lazy multi-asset portfolio + Historical Analysis with Pyfolio
  2. Residual Income Model and Abnormal returns - Empirical Backtesting
  3. Mean Variance, Black & Litterman, Pure Bayesian and Jorion Rule for in-sample optimization using PyPortfolioOpt
  4. Regime switching Mean Variance Optimization with Hidden Markov Model and Trend Filtering algorithm
  5. Inflation forecast with XGBoost
  6. Recession forecast with XGBoost

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