[R-SIG-Finance] Partitioning approach towards portfolio construction - ensemble models/weights based on parameter sets
||y@@k|pn|@ @end|ng |rom gm@||@com
Wed Jul 24 00:10:49 CEST 2019
In my latest post, for tactical asset allocation rebalancing strategies
such as described on the Newfound blog post, I create a method to allow the
user to set a lag on the endpoints so as to allow different trading days
after the month.
On Tue, Jul 23, 2019 at 6:06 PM Sam H <sam.hhh1 using gmail.com> wrote:
> 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.
> Best regards,
> [[alternative HTML version deleted]]
> R-SIG-Finance using r-project.org mailing list
> -- Subscriber-posting only. If you want to post, subscribe first.
> -- Also note that this is not the r-help list where general R questions
> should go.
[[alternative HTML version deleted]]
More information about the R-SIG-Finance