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- in/matteo-cunsolo
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Quantitative-Risk-Analysis-of-the-FTSE-MIB
Quantitative-Risk-Analysis-of-the-FTSE-MIB PublicThis repository contains a financial analysis in python of the FTSE MIB. From raw data I conduct an historical risk analysis, calculate key financial metrics (Annualized Returns / Volatility, Drawd…
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Performance-and-Risk-Analysis-of-UBS-and-the-MSCI-World-ETF-with-GARCH-Based-Portfolio-Allocation
Performance-and-Risk-Analysis-of-UBS-and-the-MSCI-World-ETF-with-GARCH-Based-Portfolio-Allocation PublicAn in depth analysis of UBS vs MSCI World CHF hedged ETF with stylized facts of returns, QQ plot normality checks, multi method VaR forecasting and violation backtesting, time varying volatility mo…
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Covariance-Based-Dynamic-Risk-Parity-Portfolio-with-Volatility-Targeting
Covariance-Based-Dynamic-Risk-Parity-Portfolio-with-Volatility-Targeting PublicVolatility targeted Risk Parity portfolio with a 12% volatility target across 20 USA sector assets and a bond allocation. Built on 1990 to 1999 data and tested out of sample from 2000 to 2026 using…
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