High Dimensional Portfolio Selection with Cardinality Constraints
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Updated
Sep 27, 2022 - Python
High Dimensional Portfolio Selection with Cardinality Constraints
Python scripts from paper Optimal cleaning for singular values of cross-covariance matrices, by Florent Benaych-Georges, Jean-Philippe Bouchaud, Marc Potters (see https://arxiv.org/abs/1901.05543)
Direct Python ports of Nonlinear Matrix Factorization implementations
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