Multi-Factor Portfolio Construction

About The Repository

Repo of the code used while writing my master thesis.

The main objective was to build and backtest a Factor Risk parity Investement strategy.

Name		Name	Last commit message	Last commit date
Latest commit History 55 Commits
Data		Data
Implementation		Implementation
Output		Output
Plots		Plots
.gitattributes		.gitattributes
.gitignore		.gitignore
README.md		README.md
backtest_functions.py		backtest_functions.py
equal_weight.py		equal_weight.py
factor_data.py		factor_data.py
factor_risk_parity.py		factor_risk_parity.py
factor_selection.py		factor_selection.py
factor_weight_parity.py		factor_weight_parity.py
main.py		main.py
performance_measures.py		performance_measures.py
risk_parity.py		risk_parity.py
stock_data.py		stock_data.py
test_nb.ipynb		test_nb.ipynb