@frankiethull Wow, this is truly awesome.
I’d love to test this but I‘m facing an issue with {maize} since it expects R >= 4.4.1 but we currently use 4.4.0 🫣
@RandVegan I tried using beta coefficients from a multivariate regression, and then I calculated the marginal contribution of each asset to the portfolio's correlation with the variable of interest.
Normalize the weighted Beta coefficients so that they sum up to 100%.