Yes, I did start implementing a package that implements a number of log
optimal portfolios (or closely related ideas).  I did somehow stop of
implementing all the algorithms I wanted to tackle, but Cover's algorithm is
done.  Because it was and remains not in perfect shape, I never advertised
it on this list, but you can certainly have a look at what is available.  I
even started writing a vignette, that remains in draft form.  This was seen
as both as an exercise in understanding how to write packages and repaying
part of my debt to the R community.

https://r-forge.r-project.org/projects/logopt/

Please don't hesitate to contact me for questions and/or bug reports.

Marc Delvaux

P.S. I like your name, I happen to be French speaking by birth, and lived
close to a village called Mazy.


On Tue, May 17, 2011 at 8:19 AM, des Mazis, Pierre-Alexandre <
p.desmazis@gmail.com> wrote:

> Hi everyone,
>
> Have you ever heard of any implementation in R of the theory developped by
> Thomas Cover regarding "Universal Portfolios"? Any help would be greatly
> appreciated.
>
> Thank you.
>
> Regards,
> Sent using BlackBerry® from Orange
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