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| bio | website | |
|---|---|---|
| location | United States | |
| age | 33 | |
| visits | member for | 2 years, 3 months |
| seen | Feb 23 at 17:32 | |
| stats | profile views | 2 |
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Feb 23 |
comment |
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. |
