bahc

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Filter Covariance and Correlation Matrices with Bootstrapped-Averaged Hierarchical Ansatz

Christian Bongiorno

Last update: 21 September 2020

Copyright license: GNU General Public License, version 3.0, GNU General Public License, version 2.0

Software version identifier: 0.3.0

Cites work

• Covariance matrix filtering with bootstrapped hierarchies
• Reactive Global Minimum Variance Portfolios with $k-$BAHC covariance cleaning

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