CombinePortfolio (0.4)

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Estimation of Optimal Portfolio Weights by Combining Simple Portfolio Strategies.

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 about 1 year ago.

2 previous versions



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