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.
Categories: Portfolio Construction, R
Leave a comment
Systematic Investor 
What is the reader to make of the two algorithms giving weights in reverse order for the example three-sample data?
Very interesting paper. Have you tried to combine this with momentum factors along the line of your test for the Adaptive Asset Allocation approach?