CombinePortfolio (0.4)

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 9 days ago.