https://colab.research.google.com/drive/1JdancuWfsH4IEXIR7qtPNZDi9Mar3m62?usp=sharing
Smart-Beta-with-Regularization
In this project, I will first test the performance of smart beta strategy. Then implement L2 regularization technique to different smart beta srategies.
Smart Beta Strategies
- Maximum Diversification Ratio
- Maximum Sharpe Ratio
- Global Minimum Variance
Regularization
As there will not be any sparse weight for stocks. I only implement L2 regularization.
Technologies
- parallel processing
- OOP
- scipy optimization
Results
Regularization appearently improve the performance of GMV and MSR strategy.
