A Modification To The Flexible Asset Allocation Model

A Modification to the Flexible Asset Allocation Model by Ilya Kipnis, Alpha Architect

Ilya Kipnis is the author of QuantStrat TradeR. We like the work he does on his blog and his willingness to share his source code on various algorithms with the public. We asked Ilya if he'd be interesting in sharing some of his recent insights...

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This topic is about Flexible Asset Allocation, a concept I first got wind of thanks to this blog.

Thanks to input from David Varadi of CSS Analytics, I have also extended this algorithm by injecting a better correlation ranking system, available in my IKTrading package on my Github.

Finally, thanks to input from the paper's authors, I updated the algorithm to...