logopt is a R package that I have neglected for too long a time for a variety of reasons.  Logopt comes from log optimal portfolio, a part of the more general portfolio theory.  This blog is an attempt at reviving it through an increase in exposure, with these goals:

• Clean up the existing code and discuss its implementation
• Present applications of the code, generally by recreating the results of academic articles
• Write new code

The base idea will be "don't break the chain", post and commit code on a regular base, in small chunks.  The first set of posts will discuss the initial motivation for logopt. a seminal article by Thomas M. Cover. Universal Portfolios. Mathematical Finance, 1(1): 1-29, January 1991.