Description

This repo is for storing my replications of financial papers.

Current papers

• Maio, Santa-Clara (2012). Multifactor models and their consistency with ICAPM.
• Daniel, Jagannathan, Kim (2012). Tail Risk in Momentum Strategy Returns

Replicated papers

• Protective asset allocation strategy
• Dudler, Gmuer, Malamud (2014). Risk-adjusted Time Series Momentum.

Data used

• Ken French's website http://mba.tuck.dartmouth.edu/pages/faculty/ken.french/data_library.html
• Zipline data
• Oanda for forex strategies