Advanced Math Trading/portfolio Factors

Factor modeling and portfolio construction (Markowitz, Black-Litterman, constraints, turnover).

diegosouzapw Updated 54 repo stars

File contents

What this covers

  • Factor models, mean-variance, BL, turnover/constraints, links to advanced optimization examples.

Navigation (load on demand)

  • docs/knowledge-base/domains/foundations/advanced-mathematics/factor-models.md
  • docs/knowledge-base/domains/foundations/advanced-mathematics/mean-variance-optimization-markowitz.md
  • docs/knowledge-base/domains/foundations/advanced-mathematics/black-litterman-model.md
  • Relevant sections in docs/knowledge-base/domains/foundations/advanced-mathematics/advanced-optimization.md (MOO, MIP).

Quick workflows

  • Build factor portfolio → factor-models + Markowitz.
  • BL prior/posterior setup → Black-Litterman MD.
  • Add cardinality/turnover → reuse MOO/MIP from advanced-optimization.

Notes

  • Keep loads targeted to the needed construction.

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