├── .gitignore ├── 0 - General functions.R ├── 0 - Portfolio choice functions.R ├── 0 - Return prediction functions.R ├── 1 - Prepare Data.R ├── 2 - Fit Models.R ├── 3 - Estimate Covariance Matrix.R ├── 4 - Prepare Portfolio Data.R ├── 5 - Base case.R ├── 5 - Feature importance IEF.R ├── 5 - Feature importance base.R ├── 5 - Feature importance ret.R ├── 6 - Base analysis.R ├── 6 - Economic intuition.R ├── 6 - Feature importance.R ├── 6 - Implementable efficient frontier.R ├── 6 - Performance across size distribution.R ├── 6 - RF example.R ├── 6 - Short selling fees.R ├── 7 - Figures.R ├── 7 - Numbers.R ├── 7 - Tables.R ├── Joblists ├── joblist_models.txt ├── joblist_pfchoice_all.txt ├── joblist_pfchoice_base.txt ├── joblist_pfchoice_fi.txt ├── joblist_pfchoice_ief.txt ├── joblist_pfchoice_size.txt └── joblist_simulations.txt ├── Main.R ├── README.md ├── config_files ├── config_models1.txt ├── config_models10.txt ├── config_models11.txt ├── config_models12.txt ├── config_models2.txt ├── config_models3.txt ├── config_models4.txt ├── config_models5.txt ├── config_models6.txt ├── config_models7.txt ├── config_models8.txt ├── config_models9.txt ├── config_pfchoice_all.txt ├── config_pfchoice_base.txt ├── config_pfchoice_fi_base.txt ├── config_pfchoice_fi_ief.txt ├── config_pfchoice_fi_ret.txt ├── config_pfchoice_ief_w1g1.txt ├── config_pfchoice_ief_w1g2.txt ├── config_pfchoice_ief_w1g3.txt ├── config_pfchoice_ief_w1g4.txt ├── config_pfchoice_ief_w1g5.txt ├── config_pfchoice_ief_w2g1.txt ├── config_pfchoice_ief_w2g2.txt ├── config_pfchoice_ief_w2g3.txt ├── config_pfchoice_ief_w2g4.txt ├── config_pfchoice_ief_w2g5.txt ├── config_pfchoice_ief_w3g1.txt ├── config_pfchoice_ief_w3g2.txt ├── config_pfchoice_ief_w3g3.txt ├── config_pfchoice_ief_w3g4.txt ├── config_pfchoice_ief_w3g5.txt ├── config_pfchoice_ief_w4g1.txt ├── config_pfchoice_ief_w4g2.txt ├── config_pfchoice_ief_w4g3.txt ├── config_pfchoice_ief_w4g4.txt ├── config_pfchoice_ief_w4g5.txt ├── config_pfchoice_size1.txt ├── config_pfchoice_size2.txt ├── config_pfchoice_size3.txt ├── config_pfchoice_size4.txt ├── config_pfchoice_size5.txt ├── config_sim1.txt ├── config_sim10.txt ├── config_sim11.txt ├── config_sim12.txt ├── config_sim13.txt ├── config_sim14.txt ├── config_sim15.txt ├── config_sim2.txt ├── config_sim3.txt ├── config_sim4.txt ├── config_sim5.txt ├── config_sim6.txt ├── config_sim7.txt ├── config_sim8.txt └── config_sim9.txt ├── ewma.cpp ├── ml-and-the-implementable-efficient-frontier.Rproj ├── separate_analysis_run.R ├── simulations ├── sim_functions.R ├── sim_results.R └── simulations.R ├── slurm_build_portfolios.R ├── slurm_fit_models.R └── sqrtm_cpp.cpp /.gitignore: -------------------------------------------------------------------------------- https://raw.githubusercontent.com/theisij/ml-and-the-implementable-efficient-frontier/HEAD/.gitignore -------------------------------------------------------------------------------- /0 - General functions.R: 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