quantallocation
A collection of quantitative asset allocation tests, including:
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Monte Carlo Simulation of lazy multi-asset portfolio + Historical Analysis with Pyfolio
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Residual Income Model and Abnormal returns - Empirical Backtesting
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Vanilla Mean Variance Optimization and in-sample backtesting using riskfolio-lib
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Mean Variance, Black & Litterman, Pure Bayesian and Jorion Rule for in-sample optimization using PyPortfolioOpt
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Regime switching Mean Variance Optimization with Hidden Markov Model and Trend Filtering algorithm