Detect backtest overfitting & multiple testing: Deflated Sharpe Ratio, PBO (CSCV), purged/embargoed CV, Harvey-Liu haircut. Research/education only, not investment advice.
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Updated
Jul 5, 2026 - Python
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Convex portfolio optimizer: mean-variance / min-variance / max-Sharpe / risk-parity / max-diversification with weight caps, sector & exposure neutrality and turnover limits. Research/education only, not investment advice.
python quant portfolio-optimization convex-optimization risk-parity mean-variance quantskills panda-data
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Updated
Jul 5, 2026 - Python
Barra-style multi-factor risk model & risk attribution: cross-sectional WLS factor returns, Ledoit-Wolf shrinkage covariance, factor vs specific risk decomposition. Offline via a panda_data adapter. Research/education only, not investment advice.
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Updated
Jul 5, 2026 - Python
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