using Pkg
Pkg.add(["DataFrames", "CSV"])
using DataFrames, CSV
df = CSV.read("asset_prices.csv", DataFrame)
prices = Matrix(df)
asset_names = names(df)

p_changes = prices[2:end, :] .- prices[1:end-1, :]
rets = p_changes ./ prices[1:end-1, :]
R_train = rets[1:2000, :]
R_test = rets[2001:2500, :]
T_train, n = size(R_train)
T_test, n = size(R_test)
P = 250