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  1. Financial-Market-Regime-Classification Financial-Market-Regime-Classification Public

    Value or Momentum? Comparing Random Forests, Support Vector Machines, and Multi-layer Perceptrons for Financial Time Series Prediction & Tactical Asset Allocation

    Jupyter Notebook 25 2

  2. Statistical-Learning-based-Portfolio-Optimization Statistical-Learning-based-Portfolio-Optimization Public

    This R Shiny App utilizes the Hierarchical Equal Risk Contribution (HERC) approach, a modern portfolio optimization method developed by Raffinot (2018).

    R 13 1

  3. Efficient-Tests-of-Stock-Return-Predictability Efficient-Tests-of-Stock-Return-Predictability Public

    This R code implements the Bonferroni Q test from Yogo and Campbell's (2006) paper "Efficient Tests of Stock Return Predictability."

    3

  4. Fund-Replication Fund-Replication Public

    This repository provides a notebook for checking whether a fund or other security can be replicated by others.

    Jupyter Notebook 3 1

  5. Evaluating-Investment-Strategies Evaluating-Investment-Strategies Public

    This repository contains a collection of functions to evaluate investment strategies regarding multiple testing concerns.

    Stata 8

  6. Interest-Rate-Simulation Interest-Rate-Simulation Public

    This repository contains the code for the R Shiny tool "Interest Rate Simulation", an interactive tool for gaining intuition for one-factor equilibrium models.

    R 1