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Stock Market Analysis
Project Overview
Developing a framework for computing the fat-tail metrics and performing Modern Portfolio Theory based anaylsis:
Key Features
- Fat-Tailed Asset Modeling, i.e., computing Taleb kappa, VaR, and fitting lognormal and powerlaw disributions
- Modern Portfolio Theory (MPT) analysis
- Simulates thousands of portfolios to identify optimal weights based on risk/return tradeoffs
- Supports both normal and power-law (fat-tailed) asset return modeling