Proportional Minimum Variance Algorithm:This is a support page for the upcoming "Proportional Minimum Variance Algorithm" paper. The paper presents a new heuristic portfolio allocation algorithm developed by David Varadi. The Proportional Minimum Variance Algorithm is fast, robust, and easy to implement. Here are the support documents:
Please stay in touch, the "Proportional Minimum Variance Algorithm" paper is coming soon. To reproduce the back-test reports presented in the paper, please execute following R code: ############################################################################### # Load Systematic Investor Toolbox (SIT) ############################################################################### setInternet2(TRUE) con = gzcon(url('http://www.systematicportfolio.com/sit.gz', 'rb')) source(con) close(con) # Load supporting R code for Minimum Variance Algorithm Paper con=url('http://www.systematicportfolio.com/bt.min.var.R') source(con) close(con) #***************************************************************** # Create Reports #***************************************************************** min.var.paper.backtests() |