I am attempting to recreate the S&P Dynamic Asset Exchange using the methodology outlined in this paper.
I am struggling to 'normalize' the prices of the assets properly. On page 6 of the aforementioned paper,
Price A(t) = Price of asset A normalized to equal 100 on the last trading day of the preceding year
Price B(t) = Price of asset B normalized to equal 100 on the last trading day of the preceding year
-- What methodology is implied for 'normalize' -- the standard Random Variable normalization? (Random Variable - Mean)/(Standard Deviation)? Or is there an alternative method?