[Feature Request] Optimal Portfolio Allocation via Independent Component Analysis
Open
- Dominant language
- Python
- Stars
- 1.2k
- Forks
- 170
- PR merge metrics
- No merged PRs in 30d
Description
IC-variance-parity portfolio: Factor-Risk-Parity Portfolio based on Maximally Independent Factors (via ICA)
[Optimal_Portfolio_ICA.pdf](https://github.com/jankrepl/deepdow/files/7101319/Optimal_Portfolio_ICA.pdf)
Contributor guide
No contributing guide indexed for this repository
Research direction
Start by reading the linked Optimal_Portfolio_ICA.pdf to identify the requested algorithm and expected inputs and outputs. Then inspect deepdow's existing portfolio-optimization entry points for a suitable extension point. Done means the ICA-based allocation feature is implemented with behavior verified by appropriate tests.
Written by the indexing model from the issue text.
Assessment
- Tech stack
- python, pytorch
- Domain
- fintech-quant, machine-learning
- Issue type
- Feature
- Difficulty
- 5/5
- Estimated time
- Over a week
- Activity status
- Stale
- Clarity
- Needs clarification
- Newbie friendliness
- 22/100