Portfolios

Years	Rebalancing	Metrics	Matrices	MinVar	Right-tail weighted	Hurst exponent weighted	Right-tail-Hurst weighted
2	No rebalancing	Log-return pdfs, fractal dimensions, tail risks, CVaR		Returns, Weights,	Returns, Weights,	Returns, Weights,	Returns, Weights,
2	Rebalanced quarterly			Returns, Weights,	Returns, Weights,	Returns, Weights,	Returns, Weights,
5	No rebalancing	Log-return pdfs, fractal dimensions, tail risks, CVaR		Returns, Weights,	Returns, Weights,	Returns, Weights,	Returns, Weights,
5	Rebalanced quarterly			Returns, Weights,	Returns, Weights,	Returns, Weights,	Returns, Weights,
10	No rebalancing	Log-return pdfs, fractal dimensions, tail risks, CVaR		Returns, Weights,	Returns, Weights,	Returns, Weights,	Returns, Weights,
10	Rebalanced quarterly			Returns, Weights,	Returns, Weights,	Returns, Weights,	Returns, Weights,

-MinVar - Minimum variance portofolio, tangency is used for unbalanced, whereas minimum variance is use for rebalanced portfolios.
-EWMA - Exponential weighted moving average determination of returns and standard deviation.
-RES - Component subtraction used to remove effect of the first principal component of the correlation matrix on returns.
-MP - Component subtraction used to remove effect of noise eigenvectors (below Marcenko-Pastur cutoff, lambda+), on returns.
-RESMP - Component subtraction employed to remove effects of greatest principal component and noise eigenvectors below MP cutoff.
-DK - Daniels-Kass shrinkage of correlation matrix.
-LW - Ledoit-Wolf shrinkage of correlation matrix.
-SS - Schafer-Strimmer shrinkage of correlation matrix.
-^GSPC - S&P 500 index.
-Dividends applied to all portfolios.

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