elements = read.csv("equity.csv",header=FALSE, sep=";")
elements = diff(as.matrix(log(elements)),1)
mu = apply(elements, 2, mean)
sigma = cov(elements)
sigma_inv = solve(sigma)
gamma = 3
w = (1/gamma)sigma_inv%%mu
daily_returns = elements%*%w
compound = c()
compound = c(compound, daily_returns[1])
for (i in 2:nrow(daily_returns)) {
compound = c(compound, compound[i-1] + daily_returns[i])
}
plot(compound, type = "l",main="Let’s give it a try",xlab="# Days",ylab="# Coumpounded performance")