minimum-variance

Backtesting of different trading strategies by applying different Modern Portfolio Theory (MPT) approaches on long-only ETFs portfolios in Python.

An R package implementing a collection of clustered and hierarchical portfolio optimization techniques.

Global minimum-variance portfolios under unbiased, single-factor and three-factor covariance estimators.

A Scalable Gradient-Based Optimization Framework for Sparse Minimum-Variance Portfolio Selection

Time-Varying Minimum Variance Portfolio (TV-MVP)

Excel portfolio project combining Fama–French 3-factor regressions with Markowitz optimization. Calculates expected returns, covariances, and solves for Minimum Variance & Tangency Portfolios. Includes charts, efficient frontier, and fully transparent formulas for replication.

Adaptive multi-asset allocation in MATLAB using momentum, risk parity, maximum diversification, minimum variance and volatility targeting.

Portfolio optimization in R: minimum variance and efficient frontier using EDHEC hedge fund data, plus linear programming applied to resource allocation. VCU FIRE 540.

Analyzing portfolio optimizing strategies

Robert C. Merton's 1972 minimum-variance portfolio allocation algorithm.

Acheter des actions américaines depuis le Canada expose aussi au dollar américain. Ce projet vérifie si retirer cet effet réduit vraiment les pertes.

"Data Science in Finance with Python" course at the Catholic University of Eichstätt-Ingolstadt