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 # Factor Graphical Lasso Portfolio Project
-- Leveraged stock market data from yfinance package and a provided database to create Markowitz minimum variance portfolios using the Factor Graphical Lasso (FGL) Algorithm  suggested by Lee and Seregina (reference: https://arxiv.org/abs/2011.00435)
+- Leveraged stock market data from yfinance package and a provided database to create Markowitz minimum variance portfolios using the Factor Graphical Lasso (FGL) Algorithm  suggested by [Lee and Seregina](https://academic.oup.com/jfec/article-abstract/22/3/670/7116303?redirectedFrom=fulltext)
 - FGL utilizes graphical methods for inverse covariance (precision) matrix estimation
 - Created a 6 year rolling window trading strategy with yearly updates to portfolio weights with appropriate transaction fees
 - The resulting portfolio outperformed the S&P500 and a balanced (equally weighted) portfolio in returns and volatility