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inverse correlation factor #474029
09/09/18 11:29
09/09/18 11:29
Joined: Apr 2017
Posts: 106
3
3dgamelight Offline OP
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3dgamelight  Offline OP
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Joined: Apr 2017
Posts: 106
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.

Re: inverse correlation factor [Re: 3dgamelight] #474032
09/09/18 12:47
09/09/18 12:47
Joined: Feb 2015
Posts: 652
Milano, Italy
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MatPed Offline
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MatPed  Offline
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Milano, Italy
Nice question!

Re: inverse correlation factor [Re: MatPed] #474078
09/18/18 16:00
09/18/18 16:00
Joined: Jul 2000
Posts: 27,982
Frankfurt
jcl Offline

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jcl  Offline

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Joined: Jul 2000
Posts: 27,982
Frankfurt
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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