This is my attempt at replicating the well-known paper by ALAN MOREIRA and TYLER MUIR. Link to the paper: https://doi.org/10.1111/jofi.12513
The code is written in R.
Pull requests are welcome. For major changes, please open an issue first to discuss what you would like to change.
Please make sure to update tests as appropriate.
MOREIRA, A. and MUIR, T. (2017), Volatility-Managed Portfolios. The Journal of Finance, 72: 1611-1644.