[R-SIG-Finance] Partitioning approach towards portfolio construction - ensemble models/weights based on parameter sets
@@m@hhh1 @end|ng |rom gm@||@com
Wed Jul 24 00:06:34 CEST 2019
Is there some (example) code available somewhere (can be highly
experimental) that would enable conducting this kind of analysis (portfolio
construction) (possibly wrapping PortfolioAnalytics):
So to be able to create average/ensemble weights based on a set of
parameters (like rebalance date, look back periods for momentum and
whatever the parameters are). Something like quantstrat has
with apply.paramset, add.distribution, add.distribution.constraint, ...
Original message was not delivered due to attachments, I guess.
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