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the closest I get is to run correlations between systems and add a system only if it has a low R with all the other systems
----- Original Message -----
From: "Gray, Gabriel" <Gabriel.Gray@xxxxxxxxxxxxxxxxx>
To: <omega-list@xxxxxxxxxx>
Sent: Tuesday, January 27, 2004 12:24 PM
Subject: Portfolio Construction
> Hi All,
>
> Has anyone done any work with, or have a strong opinion about,
> correlations between commodities and/or correlations between strategies.
> Has anyone read anything, measured the effect of, or optimized
> portfolios so as to maximize negative correlation or construct the most
> efficient portfolio. I am obviously very new to this so any advice would
> be much appreciated.
>
> Gabriel
>
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