其应用大致分为4种:Portfolio Management(投资组合管理),Single-asset trading signal (单资产交易信号),Execution(交易执行)以及Option hedging(期权对冲和定价)。其中PM一般是低频交易,单资产交易信号一般是中高频,交易执行一般是高频tick级数据上的策略,至于期权定价则是理论和实践统一起来的工作。
因此,风险平价策略(risk-parity strategy)需要解决以下最小化问题: Maillard, S., Roncalli, T., & Teïletche, J. (2010).The Properties of Equally Weighted Risk Contribution Portfolios. The Journal of Portfolio Management, 36(4), 60–70. Martiradonna, M., et al. (2023).The beneficial role ...
投资管理与Python和机器学习(EDHEC商学院)课程2高级投资组合构建和分析|advanced-portfolio-construction-python共计30条视频,包括:0_欢迎视频.zh_en、1_因子投资入门.zh_en、2_因子模型和CAPM.zh_en等,UP主更多精彩视频,请关注UP账号。
Python、数据科学和人工智能 ：介绍机器学习、人工智能和数据科学，以理解如何使用Python分析金融报表、报告和分析。针对CFA三级候选人，新规指出，从2025年2月开始将引入新的专精方向，候选人可以选择传统的投资组合管理（Portfolio management），或者选择两个新的方向：1.私人财富管理;2.私募市场。考生必须在考试注册时...
Journal of Accounting and Economics、Journal of Financial and Quantitative Analysis、Financial Analysts 、Journal Financial Management、Journal of Empirical Finance、Quantitative Finance、Journal of Alternative Investments、Journal of Fixed Income、Journal of Investing、Journal of Portfolio Management、Journal of ...
DataHandler+get_price_data()+get_signals()Strategy+generate_signals()+calculate_position_size()Portfolio+get_current_positions()+update_positions()+calculate_value()RiskManagement+apply_stop_loss()+apply_take_profit()Execution+execute_trade() ...
[BR06] C. Burgert and L. Ruschendorf, “Consistent risk measures for portfolio vectors,” Insurance: Mathematics and Economics, vol. 31, pp. 289-297, 2006. [BTT07] H. Follmer and A. Schied, “Stochastic finance: An introduction in discrete time,” De Gruyter, 2016. ...
WEEK 2: Machine learning techniques for robust estimation of factor models WEEK 3: Machine learning techniques for efficient portfolio diversification WEEK 4: Machine learning techniques for regime analysis WEEK 5: Identifying recessions, crash regimes and feature selection Investment Management with Python...
and deep learning developed by Google. It provides a flexible architecture for building and deploying machine learning models, including neural networks. TensorFlow is increasingly being used in quantitative investing for tasks such as predicting asset prices, portfolio optimization, and risk management. ...
cmeanm = np.vstack([cmean for x in range(rcs.shape[1])]).T sigmabc = np.dot(rbs-np.mean(rbs), (rcs-cmeanm).T)/(rcs.shape[1]-1) if rcs.shape[0] == 1: theta = np.dot(1/sigmac, (cmean.reshape(len(cmean), 1) / ...