Home > Asset Allocation, Backtesting, Portfolio Construction, R > Updates for Proportional Minimum Variance and Adaptive Shrinkage methods

Updates for Proportional Minimum Variance and Adaptive Shrinkage methods

I create supporting pages for two projects I have collaborated with David Varadi in 2013:

Please check the links to get more info, including supporting blog posts, back-tests, R code to reproduce the back-tests, and more to come in the near future.

I and David appreciate your feedback and comments.

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  1. Pierre
    October 31, 2013 at 11:46 pm

    Hi Michael,
    As I already mentioned in comment to your last post, I have been very excited by the developments you have made, David and yourself, and which are included in the last release of your software package,
    The collaboration you have with David creates, for the community of your readers, a tremendous value : I have never seen any other implementation of such innovative technologies (for instance the RSO optimization algorithm or the Minimum Variance Algorithm) into a user friendly development and production environment.
    As an investor (in opposition to a trader), I have always been looking for a way to invest a part of my assets into a “reasonably quiet” strategy, which would combine a reasonable return with a low drawdown. The last combination of the RSO with the maximum diversification, which are included in your library, provide this opportunity. I will send you an example in case you want to elaborate on this kind of simple appications (may be a bit simplistic for you, but useful for some readers).
    One again, thank you so much to both of you.
    Please give my regards to David.
    Best,
    Pierre

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