Articles by Next Level Analytics

Gerber Statistic Implementation in Rcpp and OpenMP

May 25, 2016 | Next Level Analytics

By Yi, Nico, and Chris Summary Recently new research has appeared on using a co-movement measure to construct the covariance matrix as part of the Modern Portfolio Theory (MPT) style portfolio construction. Below is the abstract of the Gerber, Markowith and Pujara (2015) paper whose methodology is also currently patent pending: ... [Read more...]

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