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enjine-com / mcos

Implementation of Monte Carlo Optimization Selection from the paper "A Robust Estimator of the Efficient Frontier"
MIT License
55 stars 18 forks source link

Create Markowitz optimizer and tests #16

Closed andystanley closed 4 years ago

andystanley commented 4 years ago

Closes #2

biskit1 commented 4 years ago

Other than my comment, looks good!