Dear All,
I am trying to employ the MVP method to determine optimal weights for a
data, which is fine for me to do.
However, I intend to use a different Data generating process (DGP) such as
Vector Autoregressive Process (VAR), and then compute the optimal weights.
Theoretically, it looks okay but empirically, have someone carried out this
before? If yes: how did you go about it?
I would be grateful for your constructive and helpful comments.
Many thanks,
Emmanuel Fianu
[[alternative HTML version deleted]]
_______________________________________________
R-SIG-Finance@r-project.org mailing list
https://stat.ethz.ch/mailman/listinfo/r-sig-finance
-- Subscriber-posting only. If you want to post, subscribe first.
-- Also note that this is not the r-help list where general R questions should
go.
