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A method to filter correlation and covariance matrices by averaging bootstrapped filtered hierarchical clustering and boosting. See Ch. Bongiorno and D. Challet, Covariance matrix filtering with bootstrapped hierarchies (2020) <arXiv:2003.05807> and Ch. Bongiorno and D. Challet, Reactive Global Minimum Variance Portfolios with k-BAHC covariance cleaning (2020) <arXiv:2005.08703>.
Package details |
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Author | Christian Bongiorno and Damien Challet |
Maintainer | Damien Challet <damien.challet@gmail.com> |
License | GPL |
Version | 0.3.0 |
Package repository | View on CRAN |
Installation |
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