You signed in with another tab or window. Reload to refresh your session.You signed out in another tab or window. Reload to refresh your session.You switched accounts on another tab or window. Reload to refresh your session.Dismiss alert
Copy file name to clipboardExpand all lines: README.md
+1-1Lines changed: 1 addition & 1 deletion
Display the source diff
Display the rich diff
Original file line number
Diff line number
Diff line change
@@ -7,7 +7,7 @@ What's here:
7
7
8
8
2. A collection of *online* (incremental) [covariance forecasting](https://github.com/microprediction/precise/blob/main/LISTING_OF_COV_SKATERS.md) and [portfolio construction](https://github.com/microprediction/precise/blob/main/LISTING_OF_MANAGERS.md) functions. See [docs](https://microprediction.github.io/precise/).
9
9
10
-
3. I originally developed "Schur Complementary" portfolio construction in this repo, although subsequently worked with Hugo Delatte to put it in [SkFolio](https://skfolio.org/) and I recommend that implementation instead. Schur is a relatively new approach that leans on connection between top-down (hierarchical) and bottom-up (optimization) portfolio construction revealed by block matrix inversion. See my posts on the [methodology](https://www.linkedin.com/posts/petercotton_schur-complementary-portfolios-a-unification-activity-7000535020381552640-ZWej?utm_source=share&utm_medium=member_desktop) and its role in the [hijacking of the M6 contest](https://www.linkedin.com/posts/alexander-fleiss-70b49410_does-option-volume-predict-stock-direction-activity-7021134433344749569-bxx4?utm_source=share&utm_medium=member_desktop).
10
+
3. I originally developed "Schur Complementary" portfolio construction in this repo, although subsequently worked with Hugo Delatte to put it in [SkFolio](https://skfolio.org/) and I recommend that implementation instead. Hugo has a nice [tutorial](https://skfolio.org/auto_examples/clustering/plot_6_schur.html) also. Schur is a relatively new approach that leans on connection between top-down (hierarchical) and bottom-up (optimization) portfolio construction revealed by block matrix inversion. See my posts on the [methodology](https://www.linkedin.com/posts/petercotton_schur-complementary-portfolios-a-unification-activity-7000535020381552640-ZWej?utm_source=share&utm_medium=member_desktop) and its role in the [hijacking of the M6 contest](https://www.linkedin.com/posts/alexander-fleiss-70b49410_does-option-volume-predict-stock-direction-activity-7021134433344749569-bxx4?utm_source=share&utm_medium=member_desktop).
11
11
12
12
13
13
One observes that tools for portfolio construction might also be useful in [optimizing a portfolio of models](https://medium.com/geekculture/optimizing-a-portfolio-of-models-f1ed432d728b).
0 commit comments