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latestOpenAPI 3.0.1Apache 2.02026-07-2623201.3 MB

Portfolio Analysis

Correlation Spectrum

Compute the correlation spectrum of a portfolio.

References

Tristan Froidure, Khalid Jalalzai and Yves Choueifaty, Portfolio Rho-Representativity, International Journal of Theoretical and Applied FinanceVol. 22, No. 07, 1950034 (2019)

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