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"Brian G. Peterson" <brian@braverock.com> wrote:

You could construct an implementation in R using PortfolioAnalytics, but its not done for you.

The universal portfolio concept is an interesting one, but I've never seen it as practical. Once transaction costs are modeled, other periodic rebalancing objectives look better.

So, if you still want to try, you'd write one function in R that would find the expected cente rof gravity for your basket, and then use that as all or part of your objective in PortfolioAnalytics. To do the rebalancing, you'd call optimize.portfolio.rebalancing. To incorporate trading costs, you would penalize your objective if the trading costs were larger than the expected gain from rebalancing.

Regards,

- Brian
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"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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