knitr::opts_chunk$set(echo = TRUE)
Effectively create an open source Barra
.
Replicate all factors from q-factor testing portfolios http://global-q.org/testingportfolios.html
Port all stata code to R
code from Open Source Cross Sectional Asset Pricing https://github.com/OpenSourceAP/CrossSection
Replicate all Factors from …and the Cross-Section of Expected Returns "https://papers.ssrn.com/sol3/papers.cfm?abstract_id=2249314
Replicate factors from Doug Martin's The fundamental law of active management: Redux https://ideas.repec.org/a/eee/empfin/v43y2017icp91-114.html
Replicate Buffett's Alpha paper.
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