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rian-dolphin/get_return_covariance.py

Created July 18, 2021 10:25
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get_return_covariance.py
#-- Get annualised mean returns
mus = (1+daily_returns.mean())**252 - 1
#-- Get covariances and variances
#- Variance along diagonal of covariance matrix
#- Multiply by 252 to annualise it
#- https://quant.stackexchange.com/questions/4753/annualized-covariance
cov = daily_returns.cov()*252
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