CombinePortfolio

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.

Total

6,709

Last month

799

Last week

101

Average per day

27

Daily downloads

Total downloads

Description file content

Package
CombinePortfolio
Type
Package
Title
Estimation of Optimal Portfolio Weights by Combining Simple Portfolio Strategies
Version
0.4
Date
2019-02-10
Author
Florian Ziel
Maintainer
Florian Ziel
Description
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.
Depends
R (>= 3.0.2)
License
GPL (>= 2)
NeedsCompilation
no
Repository
CRAN
Date/Publication
2019-02-10 21:43:28 UTC
Packaged
2019-02-10 15:32:04 UTC; florian

install.packages('CombinePortfolio')

0.4

10 days ago

Florian Ziel

GPL (>= 2)

Depends on

R (>= 3.0.2)

Discussions