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

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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.