Chapter 10 Exercise Solutions

Introduction

This folder contains the notebook that provides the worked solutions to the exercises found at the end of Chapter 10 of "Advances in Financial Machine Learning" by Marcos López de Prado (2018), as well as an implementation of the EF3M algorithm from "A mixture of Gaussians approach to mathematical portfolio oversight: The EF3M algorithm." Quantitative Finance, Vol. 14, No. 5, pp. 913-930, which is used in the exercise solutions.

Contents

1. Chapter10_Exercises.ipynb - notebook with solutions using self contained code
2. Chapter10_Exercises (mlfinlab).ipynb - notebook with solutions using the bet_sizing functionality of the mlfinlab module
3. ef3m_test.ipynb - test cases for the EF3M algorithm
4. EF3M - small library containing the implementation of EF3M (used in Chapter10_Exercises.ipynb)
   1. ef3m.py - Python file containing the class and methods
   2. __init__.py - init file for ef3m.py