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Feature/notebooks #5

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merged 5 commits into from
Jan 30, 2024
Merged

Feature/notebooks #5

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4c15bf2
feat: add notebook on elementary risk models
blaahhrrgg Jan 26, 2024
9c7fc64
feat: add notebook on multi-factor models
blaahhrrgg Jan 26, 2024
01bfd2c
feat: add notebook on sector models
blaahhrrgg Jan 29, 2024
b4595f5
fix: add references to notebooks
blaahhrrgg Jan 29, 2024
b66a6e4
fix: add references to sector model notebook, update README.md
blaahhrrgg Jan 30, 2024
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6 changes: 5 additions & 1 deletion README.md
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Risk attribution and optimisation using a multi-factor equity risk model.

Includes functionality to:
* Calculate risk, marginal risk contributions and risk concentration measures
* Calculate risk, risk contributions and risk concentration measures
* Optimise a portfolio to be factor *neutral* or *tolerant*

The directory `notebooks` contains some jupyter notebooks which provide a
starting point to exploring and developing equity risk models. It is by no
means comprehensive, so the usual caveats apply.