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#474029 - 09/09/18 13:29 inverse correlation factor
3dgamelight Offline

Registered: 04/24/17
Posts: 103
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.

#474032 - 09/09/18 14:47 Re: inverse correlation factor [Re: 3dgamelight]
MatPed Offline

Registered: 02/28/15
Posts: 535
Loc: Milano, Italy
Nice question!

#474078 - 09/18/18 18:00 Re: inverse correlation factor [Re: MatPed]
jcl Online

Chief Engineer

Registered: 07/22/00
Posts: 26746
Loc: 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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