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Universal portfolio, part 5

June 9, 2012
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The first three tables in Universal Portfolios presents the same information in numerical form as some of the plots.  The following code generates all three tables by defining a function then calling it with suitable parameters.  Th...

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Universal portfolio, part 4

June 7, 2012
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Universal portfolio, part 4

The graph for figure 8.4 requires to be somehow careful about correctly lagging the CRP value when calculating the weights.# fig 8.4 of Cover "Universal Portfolios"require(logopt)x <- nyse.cover.1962.1984xik <- xnDays <- d...

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Universal portfolio, part 3

June 3, 2012
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Universal portfolio, part 3

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...

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