Universal portfolio, part 3

June 3, 2012

(This article was first published on logopt: a journey in R, finance and open source, and kindly contributed to R-bloggers)

After the theoretical analysis, section 8 of Universal Portfolios provides examples.  We now use logopt and R to reproduce them, the first three in this post.

The examples of Universal Portfolios use a long time series of relative stock prices on the NYSE originally accumulated by Cover himself.  This series has been reused by many authors to allow for comparisons of algorithms, and the series is available in logopt itself (originally downloaded from this website).

The two first figures introduce two specific stocks (8.1), then a series of CRP and Universal Portfolio for these two stocks (8.2).  Each figure is drawn using a standalone snippet of code.

Performance of Iroquois brands and Kin Ark

Performance of rebalanced portfolio

Performance of universal portfolio
Updated on 2012/07/25 to correct code errors and use github:gist as repository for the code examples.

To leave a comment for the author, please follow the link and comment on their blog: logopt: a journey in R, finance and open source.

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...

Comments are closed.


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)