Home > Portfolio Construction, R > Minimum Correlation Algorithm Paper

Minimum Correlation Algorithm Paper

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.

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Categories: Portfolio Construction, R
  1. Keith Booman
    September 24, 2012 at 2:57 pm

    What is the reader to make of the two algorithms giving weights in reverse order for the example three-sample data?

  2. Glen
    September 26, 2012 at 5:58 pm

    Very interesting paper. Have you tried to combine this with momentum factors along the line of your test for the Adaptive Asset Allocation approach?

  1. September 24, 2012 at 2:18 am
  2. September 26, 2012 at 3:01 am

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