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fagan2888's Projects

porc icon porc

Python Open Room Correction (PORC)

portfolio-analytics icon portfolio-analytics

Python-based project to deliver CAPM portfolio analytics and high-frequency trading analytics using equity time-series data (price/returns).

portfolio_gym icon portfolio_gym

This is an OPENAI gym reinforcement learning environment for investing. There are portfolio performance and risk metrics functions built in. These functions can be used to evaluate your algorithm and also in reward engineering.

portfolioanalytics icon portfolioanalytics

Python scripts for generating analytic tests for credit portfolio loss distributions

portfoliooptimization icon portfoliooptimization

A classical Porfolio Optimization question: is the value of the slope of the tangent line at the tangent point the same as the value of the Sharpe Ratio?

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