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  1. AssetAllocation AssetAllocation Public

    R package AssetAllocation

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  2. MCS MCS Public

    Implementation of the Model Confidence Set procedure of Hansen, Lunde and Nason (2011)

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  3. Pairs_trading Pairs_trading Public

    Python implementation of the pairs trading strategy in Gatev, Goetzmann and Rouwenhorst (2006). I am not the author of that study; this is an independent replication.

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    Examples for Portfolio Management course

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