enexqnt / rbaa

Regime Based Asset Allocation with MPT, Random Forest and Bayesian Inference

RBAA

A Regime Based Asset Allocation framework with Random Forest, Baeysian Inference and Modern Portfolio Theory.

1. Prediction with Random Forest:
   • Inflation 12 months ahead YoY inflation and Recession nowcasting (for out-of sample regime classification)
   • One-month ahead asset returns
2. Portfolio Optimization
   • Define the economics regimes:
   • Bayesian inference to combine predictions and past returns
   • Mean-CDaR Portfolio Optimization
   • Backtest

Data sources: Fred, Yahoo Finance Required libraries: XGBoost, Riskfolio,Fredapi

rbaa's Issues

"Current.csv"

code is missing data retrieval for "Current CSV" under "recession"