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Author:
None
License:
GPL-3.0-or-later
Summary:
Sparse multi-asset factor model estimation with cluster-pooled sign derivation, hierarchical group LASSO (HCGL), adaptive penalty reweighting, and consistent factor covariance assembly
Latest version:
0.7.2
Required dependencies:
cvxpy
|
numpy
|
openpyxl
|
pandas
|
scipy
Optional dependencies:
ecos
|
joblib
|
matplotlib
|
numpydoc
|
pyarrow
|
pytest
|
pytest-cov
|
pyyaml
|
ruff
|
scikit-learn
|
scs
|
sphinx
|
sphinx-rtd-theme
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