Sunbelt Computer Software

Market-Neutral-Model

A Market Neutral Equity Model based on Barra's model

Name		Name	Last commit message	Last commit date
README.md		README.md
Step 1 IC Beta and Residual of Factors		Step 1 IC Beta and Residual of Factors
Step 2 Get Covariance Matrix		Step 2 Get Covariance Matrix
Step 3 Construct optimal portfolio		Step 3 Construct optimal portfolio
Step 4 Final Strategy V1 with 4 factors.py		Step 4 Final Strategy V1 with 4 factors.py
Step 4* Try with more factors		Step 4* Try with more factors
barra_handbook_US.pdf		barra_handbook_US.pdf