Tagged Questions
9
votes
1answer
713 views
What are the advantages / disadvantages of the ANTICOR algorithm?
The algorithm is introduced in the paper, Can We Learn to Beat the Best Stock.
The obvious advantage is superior risk-adjusted returns (if you can actually achieve them). Transaction costs and ...
4
votes
4answers
783 views
How can I select the least correlated portfolio of assets?
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 ...
