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portfolio

Portfolio Analysis

https://github.com/tianhuil/portfolio

Science Score: 18.0%

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    .zenodo.json file
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    DOI references
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Last synced: 10 months ago · JSON representation ·

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Portfolio Analysis

Basic Info
  • Host: GitHub
  • Owner: tianhuil
  • License: apache-2.0
  • Language: Jupyter Notebook
  • Default Branch: master
  • Size: 1.37 MB
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  • Stars: 0
  • Watchers: 2
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  • Open Issues: 2
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Created about 7 years ago · Last pushed almost 4 years ago
Metadata Files
Readme License Citation

README.md

portfolio

Portfolio Analysis

Owner

  • Name: Michael Li
  • Login: tianhuil
  • Kind: user
  • Location: NYC
  • Company: The Data Incubator

Citation (Citations.txt) 

https://papers.ssrn.com/sol3/papers.cfm?abstract_id=1898864

Diversification Return, Portfolio Rebalancing, and the Commodity Return Puzzle
Financial Analysts Journal, Vol. 67, No. 4, pp. 42-49, July/August 2011

14 Pages Posted: 31 Jul 2011
Scott Willenbrock
University of Illinois at Urbana-Champaign

Multiple version iconThere are 2 versions of this paper

Date Written: December 1, 2010


https://papers.ssrn.com/sol3/papers.cfm?abstract_id=2724535
Why Does an Equal-Weighted Portfolio Outperform Value- and Price-Weighted Portfolios?
54 Pages Posted: 29 Jan 2016 Last revised: 16 Sep 2017
Yuliya Plyakha
Universite du Luxembourg - School of Finance

Raman Uppal
EDHEC Business School; Centre for Economic Policy Research (CEPR)

Grigory Vilkov
Frankfurt School of Finance & Management

Date Written: March 1, 2012


https://www.researchaffiliates.com/documents/FAJ_SeptOct_2011_A_Survey_of_Alternative_Equity_Index_Strategies.pdf
A Survey of Alternative Equity Index Strategies
Tzee-man Chow, Jason Hsu, Vitali Kalesnik, and Bryce Little


https://www.tandfonline.com/doi/abs/10.2469/faj.v69.n2.3
Industry-Based Alternative Equity Indices
Frank Leclerc , CFA, Jean-François L’Her , CFA, Tammam Mouakhar , CFA & Patrick Savaria , CFA

Arbitrage in Equity Markets
Robert Fernholz
https://www.researchgate.net/publication/266038391_Arbitrage_in_Equity_Markets

Diversity-Weighted Indexing
Article in The Journal of Portfolio Management 24(2):74-82 · December 1998 with 320 Reads
Robert Fernholz
https://www.researchgate.net/publication/240315419_Diversity-Weighted_Indexing

https://jpm.iijournals.com/content/24/2/74
Diversity-Weighted Indexing
Robert Fernholz, Robert Garvy and John Hannon
The Journal of Portfolio Management Winter 1998, 24 (2) 74-82; DOI: https://doi.org/10.3905/jpm.24.2.74

https://papers.ssrn.com/sol3/papers.cfm?abstract_id=647001
Cap-Weighted Portfolios are Sub-Optimal Portfolios
Journal of Investment Management, Vol. 4, No. 3, Third Quarter 2006
22 Pages Posted: 11 Jan 2005 Last revised: 4 Jan 2017
Jason C. Hsu

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Dependencies

requirements.txt pypi
  • beautifulsoup4 ==4.7.1
  • empyrical ==0.5.3
  • ipykernel ==5.1.0
  • ipython ==7.5.0
  • jupyter ==1.0.0
  • lxml ==4.3.3
  • matplotlib ==3.1.0
  • pandas ==0.24.2
  • pylint ==2.3.1
  • scikit-learn ==0.21.2
  • scipy ==1.3.0
  • seaborn ==0.9.0
  • tqdm ==4.31.1
  • waterfallcharts ==3.8
  • yfinance ==0.1.45