Machine learning portfolios with equal risk contributions: evidence from the Brazilian market

Published: 9 February 2022| Version 1 | DOI: 10.17632/8ffv2yrk3p.1
Contributor:
Alexandre Rubesam

Description

Sample data and code to showing an example of the implementation of the Multi-Strategy Equal Risk Contribution (MS-ERC) approach in the paper "Machine learning portfolio with equal risk contributions: evidence from the Brazilian market" (forthcoming, Emerging Markets Review).

Files

Steps to reproduce

Please refer to readme.txt file.

Institutions

IESEG School of Management

Categories

Machine Learning

Licence