[R-SIG-Finance] Partitioning approach towards portfolio construction - ensemble models/weights based on parameter sets
e@ @end|ng |rom enr|co@chum@nn@net
Wed Jul 24 08:03:36 CEST 2019
>>>>> "Sam" == Sam H <sam.hhh1 using gmail.com> writes:
Sam> Is there some (example) code available somewhere (can be highly
Sam> experimental) that would enable conducting this kind of analysis (portfolio
Sam> construction) (possibly wrapping PortfolioAnalytics):
Sam> - https://blog.thinknewfound.com/2019/07/ensemble-multi-asset-momentum/
Sam> So to be able to create average/ensemble weights based on a set of
Sam> parameters (like rebalance date, look back periods for momentum and
Sam> whatever the parameters are). Something like quantstrat has
Sam> with apply.paramset, add.distribution, add.distribution.constraint, ...
Sam> Original message was not delivered due to attachments, I guess.
Sam> Best regards,
Perhaps the examples in https://ssrn.com/abstract=3374195 are of
interest (though they do not use PortfolioAnalytics).
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