Estimating CAPM Betas of an equally weighted portfolio of Apple and Google from 2016 to 2021
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Updated
Sep 1, 2022
Estimating CAPM Betas of an equally weighted portfolio of Apple and Google from 2016 to 2021
This is the code for our publication Inferring Latent States in a Network Influenced by Neighbor Activities: An Undirected Generative Approach, IEEE International Conference on Acoustics, Speech and Signal Processing, New Orleans, LA, 2017
Penalized regression for multiple types of many features with missing data using expectation-maximization (EM) algorithm.
Interactive Brokers Fundamental data for humans
Estimation and inference for factor models in Asset Pricing.
Code for implementing Factor Analysis with BLEssing of dimensionality (FABLE).
Jupyter notebooks implementing Finance projects
R codes and dataset for the estimation of the high-dimensional state space model proposed in the paper "A dynamic factor model approach to incorporate Big Data in state space models for official statistics" with Franz Palm, Stephan Smeekes and Jan van den Brakel.
A repo to explore quantitative finance models, libraries and tooling.
A toolkit for asset pricing research
An R package for Factor Model Asset Pricing
Julia package for simulating and estimating multi-level/hierarchical dynamic factor models (HDFMs).
ESG investment portfolio system
Implementation of the FNETS methodology proposed in Barigozzi, Cho and Owens (2024) for network estimation and forecasting of high-dimensional time series
DRIP Asset Allocation is a collection of model libraries for MPT framework, Black Litterman Strategy Incorporator, Holdings Constraint, and Transaction Costs.
Repository for the AugmentedPCA Python package.
Work with trained factor models in Python
Implements different approaches to tactical and strategic asset allocation
R package for fitting high-dimensional multivariate linear mixed effect models
Portfolio Construction Functions under the Basic Mean_Variance Model, the Factor Model and the Black_Litterman Model.
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