Construct a portfolio based on alpha and risk factor research.
For Udacity's AI for Trading Nanodegree.
Topic: Multi-Factor Models.
- Implementing a portfolio risk model and five alpha factors from scratch.
- Predicting performance, and then optimizing the portfolio using multiple optimization formulations.
- The datasets are a set of end-of-day stock prices that comes from Quotemedia, as well as sector data organized by Sharadar.
- Modeling portfolio risk with PCA.
- Using Zipline to code up a full testing pipeline.
- Evaluating alpha factors by the Sharpe ratio, factor-weighted returns, quantile analysis, and turnover analysis.
- Optimizing factor weights by using CVXPY to formulate and maximize convex functions that include strict factor constraints and target weighting.