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Project Milestones

MAIN: M10 - End-to-End Implied Factor Premia

Production pipeline from portfolio weights to factor risk premia

Progress

59
Total
48
Closed
11
Open
81%
Done
48/59

Summary

MilestoneFocusIssuesStatus
M10 MAINPipeline0/6New
M0Theory6/6Done
M9Lambda5/5Done
M4Inv Opt6/6Done
M8Factor6/6Done
M2Code5/5Done
M3Data5/5Done
M5Bantleon5/5Done
M6Optimizer5/5Done
M7Reports5/5Done
M1R Tests0/5Block

M10: Factor Premia MAIN

Issues (6)
New
#54Production pipeline
#55BRISMA portfolio analysis
#56Market benchmark validation
#57BANTLEON funds pricing
#58Executive summary
#59Documentation

Deliverables

FileDesc
pipeline.pyEnd-to-end pipeline
factor_premia_report.htmlAnalysis report
new_asset_pricing.jsonPricing output

Metrics

MetricTarget
R^2>70%
SignsCorrect
IC>0.10
Runtime<60s

Completed

M0: Theory
6/6
#48-53Docs, proofs, examples, slides, notebook
M4: Inverse Opt
6/6
#16-20,46MV, MRAR, Omega implementation
M8: Factor Premia
6/6
#36-40,47OLS, Fama-MacBeth, backtest
M6: Optimizer
5/5
#26-30CVXPY/OSQP, constraints
M9: Lambda
5/5
Observed, B-L, confidence-weighted
M5: Bantleon
5/5
20 tests for M1/M2/Hybrid
M2-M3-M7
15/15
Code quality, data validation, reporting
M1: R Tests
0/5
Blocked - requires R env

Files

+ inverse_optimization.py, factor_premia.py, optimizer.py, reporting.py
+ data_quality.py, bantleon/*.py, lambda_calibration.py
+ implied_risk_premia.html, api/, getting-started.html, architecture.html

Timeline

Dec 25
M10: Factor Premia Pipeline
Dec 25
M7: Reporting
Dec 25
M6: Optimizer
Dec 25
M5: Bantleon Tests
Dec 25
M2-M3: Quality
Dec 25
M8: Factor Premia
Dec 25
M4: Inverse Opt
Dec 25
M9: Lambda
Dec 25
M0: Theory
Pending
M1: R Tests