BRISMA

Bantleon Risk Model Analysis - Portfolio Risk and Implied Factor Premia

91
Assets
12
Milestones
643/654
Issues
98%
Complete

MAIN GOAL: Implied Factor Risk Premia

Portfolio(w,Q) -> mu* -> Factor Decomposition -> pi -> mu_new = rf + B'pi

Navigation

Getting Started API Reference Architecture Results Milestones Theory Tutorial Wiki Time Series (595)

M11: Time Series Dashboard DONE

Interactive Dashboard 595 Charts

10 split HTMLs: Methods, Analytics, 91 Assets x 5 metrics, Factors, FX

Open Dashboard

Categories (10 HTMLs)

Features

  • Split by category (~3-40 MB each)
  • Plotly interactive charts
  • Sidebar navigation per category
  • Zoom, pan, export to PNG

M10: End-to-End Factor Premia MAIN

Production Pipeline #54

run_factor_premia_pipeline() - data to premia

Issue

Portfolio Analysis #55

89-asset analysis with factor premia report

Issue

Validation #56

Validate vs published benchmarks

Issue

New Asset Pricing #57

mu = rf + B'pi for BANTLEON funds

Issue

Getting Started

Quick Start Start

Installation, setup, first analysis in 5 min

Guide

API Reference

11 Python modules with examples

  • inverse_optimization
  • factor_premia
  • optimizer
Docs

Architecture

Module org, data flow, R/Python 1e-10

View

Theory

Implied Risk Premia Done

MV inverse opt, CRRA/Omega, APT, Fama-MacBeth

mu* = lambda*Q*w | pi = (B'B)^-1 B'(mu*-rf)
Docs

Lambda Calibration Done

Observed, Black-Litterman, confidence-weighted

Docs

Wiki

Risk models, utilities, factor decomposition

View

Core Modules

Inverse Opt M4

MV, MRAR, Omega

Docs

Factor Premia M8

OLS, Fama-MacBeth

Docs

Optimizer M6

MinVar, MaxSharpe

API

Reporting M7

Plotly dashboards

API

Data Quality M3

Outliers, validation

API

Covariance M4

Emp, shrink, GARCH

API

Lambda M9

Risk aversion

API

Data Load M4

Excel, mappings

API

Bantleon Methods

M1: 10Y Bond M5

lambda = ln((1+y)/(1+rf))/beta R^2>0.6

Impl

M2: Historical M5

lambda = sum(w_t*f_t) halflife=24mo

Impl

Hybrid M5

mu = R^2*mu_M1 + (1-R^2)*mu_M2

Impl

Status

Milestones

  • M11: Time Series 595/595 DONE
  • M10: Factor Premia 0/6 MAIN
  • M0-M9: Foundation 48/48
  • M1: R Tests 0/5 blocked
All

GitHub

643/654 issues (98%)

Repo

Install

pip install brisma
Source