I am seeing an issue when callibrating an MP distribution. Assume a log return series for the SP500 with the following dimensions dim(xts.sp500.ret.stocksonly) ==>  1133 478 ...
I have a trading system that chooses top 10 stocks in Nasdaq 100 ranked on relative strength and some other factors. However, I'd like to take positions in only 5 of these 10 stocks based on how ...
Can anyone explain the process and the calculations needed to select a portfolio of liquid futures assets with the least correlation? Given a set of returns for a series of assets, how do I select the ...