Code Monkey home page Code Monkey logo

portfolio_construction_machine_learning_by_inviul's Introduction

Portfolio Construction using Machine Leaning & Optimization theory

Abstract

Over the past decade, data science has played a pivotal role in reshaping the financial industry. This endeavor harnesses historical market data, company fundamentals, recent trends, feature engineering, and a range of pre-trained machine learning algorithms to develop and refine high-yield portfolios. Emphasizing risk reduction to enhance return on investment (ROI), this project employs information retrieval techniques to source fundamental and pricing data from financial platforms. Following data collection, thorough exploratory data analysis is conducted to extract insights from the datasets. Subsequently, feature engineering is implemented, incorporating the Capital Asset Pricing Model (CAPM). The Modern Portfolio Theory (MPT) is then applied to assess asset returns. Utilizing clustering techniques on pricing data, two distinct portfolios are created, which are then merged with company fundamentals to determine overall returns. A variety of regression models, including Linear Regression, Decision Trees, Support Vector Machines (SVM), Lasso Regression, Random Forest, Ridge Regression, Elastic Net, Stochastic Gradient Descent (SGD), and Artificial Neural Networks (ANN), are employed on the merged dataset to evaluate the relative performance of the portfolios.

How to run project

Step# 1: cd portfolioconstructionproj
Step# 2: python manage.py runserver

portfolio_construction_machine_learning_by_inviul's People

Contributors

inviul avatar

Watchers

avatar

Recommend Projects

  • React photo React

    A declarative, efficient, and flexible JavaScript library for building user interfaces.

  • Vue.js photo Vue.js

    🖖 Vue.js is a progressive, incrementally-adoptable JavaScript framework for building UI on the web.

  • Typescript photo Typescript

    TypeScript is a superset of JavaScript that compiles to clean JavaScript output.

  • TensorFlow photo TensorFlow

    An Open Source Machine Learning Framework for Everyone

  • Django photo Django

    The Web framework for perfectionists with deadlines.

  • D3 photo D3

    Bring data to life with SVG, Canvas and HTML. 📊📈🎉

Recommend Topics

  • javascript

    JavaScript (JS) is a lightweight interpreted programming language with first-class functions.

  • web

    Some thing interesting about web. New door for the world.

  • server

    A server is a program made to process requests and deliver data to clients.

  • Machine learning

    Machine learning is a way of modeling and interpreting data that allows a piece of software to respond intelligently.

  • Game

    Some thing interesting about game, make everyone happy.

Recommend Org

  • Facebook photo Facebook

    We are working to build community through open source technology. NB: members must have two-factor auth.

  • Microsoft photo Microsoft

    Open source projects and samples from Microsoft.

  • Google photo Google

    Google ❤️ Open Source for everyone.

  • D3 photo D3

    Data-Driven Documents codes.