CombinePortfolio (0.4)

0 users

Estimation of Optimal Portfolio Weights by Combining Simple Portfolio Strategies.

http://cran.r-project.org/web/packages/CombinePortfolio

Estimation of optimal portfolio weights as combination of simple portfolio strategies, like the tangency, global minimum variance (GMV) or naive (1/N) portfolio. It is based on a utility maximizing 8-fund rule. Popular special cases like the Kan-Zhou(2007) 2-fund and 3-fund rule or the Tu-Zhou(2011) estimator are nested.

Maintainer: Florian Ziel
Author(s): Florian Ziel

License: GPL (>= 2)

Uses: Does not use any package

Released 5 months ago.


2 previous versions

Ratings

Overall:

  (0 votes)

Documentation:

  (0 votes)

Log in to vote.

Reviews

No one has written a review of CombinePortfolio yet. Want to be the first? Write one now.


Related packages:(20 best matches, based on common tags.)


Search for CombinePortfolio on google, google scholar, r-help, r-devel.

Visit CombinePortfolio on R Graphical Manual.