This code tests the basic idea of my Master thesis. I propose an improved estimator of the covariance matrix of asset returns, employed in the computation of the minimum-variance portfolio. The main.py script tests the out-of-sample performance of this estimator, which is shown to deliver much better results than the sample covariance matrix and…
RascalC: A Fast Code for Galaxy Covariance Matrix Estimation
Cleaned repository focusing on running RascalC library for semi-analytical galaxy 2-point correlation function covariance matrices
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