A Regime Based Asset Allocation framework with Random Forest, Baeysian Inference and Modern Portfolio Theory.
- Prediction with Random Forest:
- Inflation 12 months ahead YoY inflation and Recession nowcasting (for out-of sample regime classification)
- One-month ahead asset returns
- Portfolio Optimization
- Define the economics regimes:
- Bayesian inference to combine predictions and past returns
- Mean-CDaR Portfolio Optimization
- Backtest
Data sources: Fred, Yahoo Finance Required libraries: XGBoost, Riskfolio,Fredapi
