Minimum Correlation Algorithm Paper

September 21, 2012
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(This article was first published on Systematic Investor » R, and kindly contributed to R-bloggers)

Over summer I was busy collaborating with David Varadi on the Minimum Correlation Algorithm paper. Today I want to share the results of our collaboration:

The Minimum Correlation Algorithm is fast, robust, and easy to implement. Please add it to you portfolio construction toolbox and share your experience.


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