inverse correlation factor

Posted By: 3dgamelight

inverse correlation factor - 09/09/18 11:29

Something to be multiplied by the Capital together with OptimalF to distribute it between correlated components.
A correlation file could be generated after the OptimalF.
Posted By: MatPed

Re: inverse correlation factor - 09/09/18 12:47

Nice question!
Posted By: jcl

Re: inverse correlation factor - 09/18/18 16:00

That makes sense, but you can relatively easily do this in the script. Use the Correlation function to get a correlation matrix, then sum up for any asset its correlations to the other assets, and divide the investment by the result.
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