BayesPortfolio


Factor Investing: Hierarchical Ensemble Learning.



Swarm, Tom Molloy (2006)


Installing the pacakge

The pacakge relies on Rcpp and RcppArmadillo.

Install from Github

install.packages("devtools")
library(devtools)
install_github("JingyuHe/BayesPortfolio")

Sample code

R script and data file.