VivekPa/OptimalPortfolio

Wrong scaling?

WLM1ke opened this issue · 1 comments

WLM1ke commented

I think mean should scale proportional frequency not sqrt of frequency

OptimalPortfolio/portfolioopt/moment_est.py

Line 101 in c97698f

return daily_mean*np.sqrt(frequency)

VivekPa commented

Ah yes, thank you.