momentum-factor

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sanjeevai / multi-factor-model

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

portfolio sharpe-ratio alpha risk-model reversion factor-model factor-returns momentum-factor alpha-factors

Updated Dec 31, 2018
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anthonyli01 / Multi-Factor-Portfolios

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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.

value performance-analysis optimisation portfolio-construction back-testing factor-investing momentum-factor low-beta

Updated May 11, 2023
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