Project for the course Cross Asset Investment Solution with Paris-Dauphine University.

The aim is to create a cross asset investment convex solution for a corporate client.

Setting up the project

Run the file install_for_windows.bat it will install dependencies and create a virtual environment for the project. Or you can launch the following commands in your terminal :

• Windows

python -m venv .venv
.\.venv\Scripts\pip.exe install -r requirements.txt
.\.venv\Scripts\pip.exe install -U pandas

• Linux/MacOS

python -m venv .venv # or python3 -m venv .venv
./.venv/bin/pip install -r requirements.txt
./.venv/bin/pip  install -U pandas

Main work location

All the code is in the src folder. The main analysis is located at src\backtest_portoflio.ipynb.

The project guidelines are in the static folder.