uncorbets: Uncorrelated Bets via Minimum Torsion Algorithm

Implements Minimum Torsion for portfolio diversification as described in Meucci, Attilio (2013) <doi:10.2139/ssrn.2276632>.

Getting started

Package details

AuthorBernardo Reckziegel [aut, cre, cph]
MaintainerBernardo Reckziegel <bernardo_cse@hotmail.com>
LicenseMIT + file LICENSE
URL https://github.com/Reckziegel/uncorbets
Package repositoryView on CRAN
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uncorbets documentation built on Sept. 24, 2021, 9:07 a.m.