covregpy (pypi): Regularised covariance regression software project based on Hoff and Niu (2012).
Keywords: Portfolio Optimisation|Regularised Covariance Regression (RCR)|Empirical Mode Decomposition (EMD)|Singular Spectrum Analysis (SSA)|Singular Spectrum Decomposition (SSD)|X11|Implicit Factors|Risk Premia Parity|Risk Parity|Long\Short Equity