BayesPortfolio

Factor Investing: Hierarchical Ensemble Learning.

Swarm, Tom Molloy (2006)
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.