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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 Jackknife Resampling Simulator #21

Closed moneygeek closed 4 years ago

moneygeek commented 4 years ago

Use the technique given here to simulate covariance matrices:

https://en.wikipedia.org/wiki/Jackknife_resampling