Links to background information

R

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

Blogs

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

3 comments:

  1. UnknownNovember 25, 2012 at 2:46 AM

    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

    ReplyDelete
  2. OrvalNovember 25, 2012 at 10:01 AM

    Logopt is on R-forge, https://r-forge.r-project.org/projects/logopt/ but you are right, there should be a link on this page, I will do that.

    ReplyDelete
  3. AnonymousApril 28, 2013 at 6:53 AM

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

    ReplyDelete

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