GitHub repository: jwang1218/Multifactor-Model
Primary language: HTML
Created: 2018-11-27T12:59:02Z
Description: Built a statistical risk model using PCA to generate a multi-factor risk model on 5 alpha factors. Factors will be evaluated using factor-weighted returns, quantile analysis, Sharpe ratio, and turnover analysis. The portfolio will then be optimized using the risk model and factors using multiple optimization formulations.