9
votes
1answer
884 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 ...
5
votes
4answers
992 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 ...