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Minimum Correlation: Implementation in Excel

September 27, 2012

We are planning to release some excel worksheets next week showing the implementation of the minimum correlation algorithms and also maximum diversification, minimum variance and risk parity. Michael Kapler from Systematic Investor has worked with me to write the paper, and has written an interesting post on how to implement the algorithm in excel by calling from R.

He has also written an interesting post comparing the speed of the algorithm versus quadratic programming (mincorr is much faster). We both plan to show some follow up posts on different applications and variations of the algorithm. If you haven’t already added Systematic Investor to your list of blogs to read it is highly recommended for more advanced readers.

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3 Comments leave one →
  1. Pete permalink
    October 11, 2012 3:23 am

    Is there a delay? I can’t wait :-)

  2. October 12, 2012 12:46 pm

    Great work as usual :-) Keep an eye on mine too on

    http://backtestingvix.wordpress.com/

    and

    http://nightlypatterns.wordpress.com/

    I’m working on correlation too expecially for overnight trading versus intraday..

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  1. Minimum Variance Algorithm Comparison Snapshot | CSSA

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