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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
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Create a new method that takes in price histories #18

Open moneygeek opened 4 years ago

moneygeek commented 4 years ago

Mu and covariance matrices should be computed from price histories.

Conform format of price histories to https://pypi.org/project/pyportfolioopt/