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mean-variance-optimization

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fortitudo.tech
Analysis-and-Forecasting-of-Financial-Time-Series-Selected-Cases

This repository of codes includes in the R and Python programs used in the six chapters of my published book titled "Analysis and Forecasting of Financial Time Series: Selected Cases". The book is published by Cambridge Scholars Publishing, New Casle upon Tyne, United Kindoam, in 2022.

  • Updated Sep 29, 2022

This code tests the basic idea of my Master thesis. I propose an improved estimator of the covariance matrix of asset returns, employed in the computation of the minimum-variance portfolio. The main.py script tests the out-of-sample performance of this estimator, which is shown to deliver much better results than the sample covariance matrix and…

  • Updated Oct 5, 2021
  • Python

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