Portfolio Construction Functions under the Basic Mean_Variance Model, the Factor Model and the Black_Litterman Model.
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Dec 27, 2017 - Python
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mean-variance-model
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Implement CER Model & Single Index Model with Point Estimation & Interval Estimation. Use Classical method & Non-parametric Bootstrap (Percentile method, T method).
quantitative-analysis
single-index-models
point-estimate-methods
mean-variance-model
risk-return-predictive-analysis
bootstrapping-estimate-methods
interval-estimate
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Jan 29, 2020 - Python
options
risk
stock
stock-market
etf
mean-variance-optimization
risk-management
options-trading
mean-variance-model
mean-variance-analysis
put-option
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Apr 22, 2020 - Python
Supplementary materials for the manuscript "Latent-class trajectory modeling with a heterogeneous mean-variance relation" by N. G. P. Den Teuling, F. Ungolo, S.C. Pauws, and E.R. van den Heuvel
bayesian-inference
simulation-study
mean-variance-model
heteroskedasticity
longitudinal-analysis
latent-class-analysis
covid-19
growth-mixture-modeling
longitudinal-clustering
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Jul 12, 2023 - R
mean
stock
stock-market
variance
mean-variance-optimization
standard-deviation
stock-market-analysis
mean-variance-model
mean-variance-analysis
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Sep 26, 2020 - Python
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