uncorbets

CRANuncorbetsMaRDI QIDQ121188FDOQ121188

Uncorrelated Bets via Minimum Torsion Algorithm

Bernardo Reckziegel

Last update: 20 February 2024

Copyright license: MIT license, File License

Software version identifier: 0.1.1, 0.1.0, 0.1.2

Description

Implements Minimum Torsion for portfolio diversification as described in Meucci, Attilio (2013) <doi:10.2139/ssrn.2276632>.

Cites work

• Measuring Portfolio Diversification Based on Optimized Uncorrelated Factors

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