Finance Models

Here you can find the following Asset Pricing Models, Portfolio Optimization techniques and Investment Strategies

1. Portfolio Optimization Markowitz model, Efficient Frontier, Min Vol Portfolio, Optimal Portfolio, Capital Market Line, Tangent Portfolio
2. CAPM
3. Conditional CAPM Corporate Spread, Term Premium, Short-Term Interest Rate, Dividend Yield
4. Fama & French 3-Factors Model Value, Size
5. Simple Moving Averages Optimization of the strategy in the sample - Montecarlo simulation to find optimal SMAs
6. Autoregressive Model - EUR/USD • Version 1) In sample • Version 2) Out sample • Strategy 1: Regress the log lags returns against current returns to see the forecasting power • Strategy 2: Regress the log lags returns against direction of the market (without considering the size of the movement in price)
7. Black-Scholes-Merton model to price option *Value, Size
8. Bond Pricing, Duration, Stress Scenario, & Implied Convexity Value, Size