MTP2 for covariance estimation in financial data.
Create folder 'data/' and download data from here: https://drive.google.com/file/d/1smSlLg8K7RAvWm-EEDukHLxvaGmxnhqy/view?usp=sharing
The file data_details.txt has a description of the various different csvs and how they're relevant.
estimators.py contains the code for the various covariance estimators that we benchmark in our paper.
Util.py is used for various utility functions, such as reading in the data, calculating relevant metrics, etc.
The iPython notebook Generate Portfolios.ipynb gives a example walk-through of how one would use an covariance estimator on the relevant data to calculate a portfolio of returns in the desired out of sample period.
Note that the MTP2 estimator requires matlab installed on your machine. You need to be able to run matlab from the command line, as that is how the estimator is called. To do this, you may need to add export PATH=$PATH:/Applications/MATLAB_R2018a.app/bin (with whichever version of matlab you have) to your ~/.bash_profile. Verify the matlab interpreter comes up when you type matlab into your command line.