Description: Multi-Factor Model. Multi-factor stock selection model is to quantify the most important class of models, the basic idea is to find some of the most relevant and profitability indicators. And based on the index, to build a stock portfolio, expect the combination index outperformed or underperformed for some time in the future. If outperform, you can do more than this combination, but short of that, to earn positive alpha income if it is underperforming, you can do more than futures, short selling short the combination to earn a reverse alpha returns. Key multi-factor model is to find correlation between factors and yields.
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MatlabCode\.DS_Store
MatlabCode\300MonthFormulaRt.xlsx
MatlabCode\FactorLoading.m
MatlabCode\FactorMain.m
MatlabCode\markowizt.m
MatlabCode\Pca.m
MatlabCode
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