mldp_returns: Returns of 10 simulated assets.
In HierPorfolios: Hierarchical Clustering-Based Portfolio Allocation Strategies
Description
This dataset contains the simulated returns used in the numerical example of Marcos Lopez de Prado's paper, hence the name mldp_returns. The Python code used to reproduce this simulated data is kindly provided by the author in the supplementary material of his paper.
References
De Prado, Marcos Lopez. "Building diversified portfolios that outperform out of sample." The Journal of Portfolio Management 42.4 (2016): 59-69.
HierPorfolios documentation built on Nov. 8, 2021, 5:09 p.m.
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Description
This dataset contains the simulated returns used in the numerical example of Marcos Lopez de Prado's paper, hence the name mldp_returns. The Python code used to reproduce this simulated data is kindly provided by the author in the supplementary material of his paper.
References
De Prado, Marcos Lopez. "Building diversified portfolios that outperform out of sample." The Journal of Portfolio Management 42.4 (2016): 59-69.
R Package Documentation
Browse R Packages
We want your feedback!
Note that we can't provide technical support on individual packages. You should contact the package authors for that.
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