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    The 2nd KRX Stock Investment Algorithm Competition

    Algorithm | Structured | Time-Series | Building Portfolio | Finance | Sharpe Index

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    [팀명: KAIK] 샤프지수 예측을 통한 포트폴리오 생성 모델

    KoreanAssetPricer
    공동작성자
    2023.07.31 20:59 3,259 Views language
    comments 1

    OLS Regression에 기반하여 9개년치 주가 및 관련 데이터를 바탕으로 종목별 샤프지수를 예측하는 포트폴리오 생성 모델입니다. 
    자산 가격(i.e. 주가)의 mean reverting하는 특성과 일별 주가 및 주식 종목별 liquidity를 바탕으로 모델을 구성하였습니다. 
    감사합니다.

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    ahha
    2023.10.09 12:58

    안녕하세요! 코드 잘 봤습니다. 혹시 주가가 mean reverting 한다는 특성은 어디 부분에 적용이 된 것일까요??

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