cov_pred_finance

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191 smooth weights

2

kasperjo

kasperjo

kasperjo

How to avoid np linalg error not positive matrix

1

from_ewmas(myreturns,...) raised error np linalg error not positive matrix. How to find which ticks correlated, or how to solve other way?

jingmouren

kasperjo

kasperjo

kasperjo

Calling `cov_pred_finance` from `cvx_portfolio`?

3

Hello @tschm and @kasperjo. I've been looking at this repository and your paper and I think it would be easy to write a class that wraps the functionality you provide...

enzbus

Fix iterated EWMA to work in case of NaNs

kasperjo

Hello World

tschm