Links to background information


The main site for R is the Comprehensive R Archive Network, including the finance task view.
logopt uses directly three R packages: quadprog, xts, FNN

Package logopt itself is not on CRAN, but on R-forge, a site also used for R package development, mostly for packages that may not yet meet the CRAN acceptance requirements.

Academic articles

Thomas M. Cover. Universal Portfolios. Mathematical Finance, 1(1): 1-29, January 1991


CASTrader had a two parts article (1, 2) on Universal Portfolio, including many links to related information.


  1. Hello!
    your works is great.

    I would like to try your R code.
    But I coulud not find logopt package .

    How I can set up logopt package ?

    Thank you
    Kazunori Umino

  2. Logopt is on R-forge, but you are right, there should be a link on this page, I will do that.

  3. Hi! Have you tried to trade in real markets with the model? Have you any interest in that?