|visits||member for||3 years, 6 months|
|seen||Feb 23 '13 at 17:32|
How to cluster ETFs to reduce cardinality for portfolio selection
The easiest way to get a feel for the method is to download the R package and experiment with some toy examples. Bob, the output is a sparse correlation matrix (I.e., clustered). The input is the full asset correlation matrix, which is not sparse but which you intend to shrink until it is.