Tag Archives: Portfolio Optimization

Parametric Portfolio Policies

By Gabriel Vasconcelos Overview There are several ways to do portfolio optimization out there, each with its advantages and disadvantages. We already discussed some techniques here. Today I am going to show another method to perform portfolio optimization that works … Continue reading

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Online portfolio allocation with a very simple algorithm

By Yuri Fonseca   Today we will use an online convex optimization technique to build a very simple algorithm for portfolio allocation. Of course this is just an illustrative post and we are going to make some simplifying assumptions. The … Continue reading

Posted in R | Tagged , , , , | 9 Comments