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Home Page: https://arxiv.org/abs/2001.02966
Codes for the paper 'Clustering Approaches for Global Minimum Variance Portfolio'
Home Page: https://arxiv.org/abs/2001.02966
Hi, I am trying to test this code on my stock portfolio but I got these issues
1. Import cudf
I could not install cudf and import it and I think that it is just available on Linux. For t-sne, instead
import cudf from cuml.manifold import TSNE
could I use this code
from sklearn.decomposition import TSNE
or do you have any solution?
2. GMVP_between_clusters function
For this function, the line scaled_daily_return_PCA_array = pca.fit_transform(current_daily_return_df)
is not working because the current_daily_return_df is not identified. Is that indeed the after_scaling_return_df ?
3. Components
How could you determine the number of components for t-sne and PCA?
Thank you,
Ben
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