Message-ID: <874l3c2clj.fsf@enricoschumann.net>
Date: 2019-07-24T06:03:36Z
From: Enrico Schumann
Subject: Partitioning approach towards portfolio construction - ensemble models/weights based on parameter sets
In-Reply-To: <CAEtT+h1DS2YNzQvHv-ov3tgB2qTYtyzd3Tkf=60BOihPSTRF8w@mail.gmail.com> (Sam H.'s message of "Tue, 23 Jul 2019 18:06:34 -0400")
>>>>> "Sam" == Sam H <sam.hhh1 at gmail.com> writes:
Sam> Hi,
Sam> Is there some (example) code available somewhere (can be highly
Sam> experimental) that would enable conducting this kind of analysis (portfolio
Sam> construction) (possibly wrapping PortfolioAnalytics):
Sam> - https://blog.thinknewfound.com/2019/07/ensemble-multi-asset-momentum/
Sam> -
Sam> https://docs.wixstatic.com/ugd/7c4c63_b3f66bbea0f648e19e535b1da004aeba.pdf
Sam> -
Sam> https://docs.wixstatic.com/ugd/7c4c63_735bc38a987340cc8db85691a41dbfe4.pdf
Sam> So to be able to create average/ensemble weights based on a set of
Sam> parameters (like rebalance date, look back periods for momentum and
Sam> whatever the parameters are). Something like quantstrat has
Sam> with apply.paramset, add.distribution, add.distribution.constraint, ...
Sam> Original message was not delivered due to attachments, I guess.
Sam> --
Sam> Best regards,
Sam> Sam
Perhaps the examples in https://ssrn.com/abstract=3374195 are of
interest (though they do not use PortfolioAnalytics).
kind regards
Enrico
--
Enrico Schumann
Lucerne, Switzerland
http://enricoschumann.net