This repository contains code, models, and tools for simulating and estimating portfolios based on constant and time-varying covariance matrices. It offers comprehensive support to generate multivariate random series using both synthetic and real historical financial data.
Features
- Covariance Matrix Modeling: Functionality for working with both constant and time-varying covariance matrices.
- Data Integration: Seamless integration with synthetic and real historical financial data.
- Portfolio Estimation: Algorithms for optimizing portfolio weights.
- Simulation Framework: A powerful simulation engine for multivariate random series.
- Visualization Tools: Built-in tools for visualizing the portfolio distributions, covariance structures, and more.