Universal Portfolios

5 messages · Marc Delvaux, des Mazis, Pierre-Alexandre, Jeff Yan +1 more

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des Mazis, Pierre-Alexandre

Tue, May 17, 2011 8:19 AM #

Hi everyone,

Have you ever heard of any implementation in R of the theory developped by Thomas Cover regarding "Universal Portfolios"? Any help would be greatly appreciated.

Thank you.

Regards,
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Marc Delvaux

Tue, May 17, 2011 11:17 AM #

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des Mazis, Pierre-Alexandre

Tue, May 17, 2011 12:32 PM #

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Jeff Yan

Tue, May 17, 2011 1:54 PM #

Hey everyone


I was wondering if there is any library/framework in R that handles multivariate cointegration, like one-variate is handled.

Thanks, Jeff

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S

Tue, May 17, 2011 2:02 PM #

check out the 'ca.jo' function in the 'urca' package.

HTH

On 5/17/11 4:54 PM, Jeff Yan wrote:

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