Metadata-Version: 2.1
Name: CovRegpy
Version: 0.0.5
Summary: Regularised covariance regression software based on Hoff and Niu (2012).
Home-page: https://github.com/Cole-vJ/CovRegpy.git
Download-URL: https://github.com/Cole-vJ/CovRegpy/archive/refs/tags/0.0.5.tar.gz
Author: Cole van Jaarsveldt
Author-email: colevj0303@gmail.com
License: cc-by-nc-4.0
Keywords: Portfolio Optimisation,Regularised Covariance Regression (RCR),Empirical Mode Decomposition (EMD),Singular Spectrum Analysis (SSA),Singular Spectrum Decomposition (SSD),X11,Implicit Factors,Risk Premia Parity,Risk Parity,Long\Short Equity
Classifier: Development Status :: 5 - Production/Stable
Classifier: Intended Audience :: Developers
Classifier: Topic :: Software Development :: Build Tools
Classifier: License :: Free for non-commercial use
Classifier: Programming Language :: Python :: 3.11
License-File: LICENSE

Regularised covariance regression software based on Hoff and Niu (2012) - see https://arxiv.org/pdf/1102.5721. This package was developed out of research performed by Cole van Jaarsveldt, Gareth W. Peters, Matthew Ames, and Mike Chantler. This package was built entirely using Python 3.11.5 - Python guarantees backwards compatibility which should ensure that this software package functions as expected on all future Python versions. See:\\ van Jaarsveldt, C., Peters, G., Ames, M., & Chantler, M. (2024) Package CovRegpy: Regularized covariance regression and forecasting in Python. Annals of Actuarial Science, First View. doi:10.1017/S1748499524000101 url: https://dx.doi.org/10.1017/S1748499524000101
