Minimum Correlation Algorithm Paper

September 21, 2012
By

(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.

To leave a comment for the author, please follow the link and comment on their blog: Systematic Investor » R.

R-bloggers.com offers daily e-mail updates about R news and tutorials on topics such as: Data science, Big Data, R jobs, visualization (ggplot2, Boxplots, maps, animation), programming (RStudio, Sweave, LaTeX, SQL, Eclipse, git, hadoop, Web Scraping) statistics (regression, PCA, time series, trading) and more...



If you got this far, why not subscribe for updates from the site? Choose your flavor: e-mail, twitter, RSS, or facebook...

Tags: ,

Comments are closed.

Sponsors

Mango solutions



RStudio homepage



Zero Inflated Models and Generalized Linear Mixed Models with R

Dommino data lab

Quantide: statistical consulting and training



http://www.eoda.de







ODSC

ODSC

CRC R books series





Six Sigma Online Training



Contact us if you wish to help support R-bloggers, and place your banner here.

Never miss an update!
Subscribe to R-bloggers to receive
e-mails with the latest R posts.
(You will not see this message again.)

Click here to close (This popup will not appear again)