icezerowjj/MultipleFactorRiskModel icezerowjj/MultipleFactorRiskModel

  • Stars
    star
    68
  • Rank 454,990 (Top 10 %)
  • Language
    Python
  • License
    MIT License
  • Created about 8 years ago
  • Updated over 6 years ago
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icezerowjj/MultipleFactorRiskModel
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icezerowjj

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Repository Details

This project explores the way to construct the multiple factor risk model to calculate the risk contribution of each factor and the total portfolio risk using daily stock data from China.

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