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.

Install the latest version of this package by entering the following in R:
install.packages("CombinePortfolio")
AuthorAuthor: Florian Ziel
Date of publication2016-06-10 07:49:01
MaintainerFlorian Ziel <ziel@europa-uni.de>
LicenseGPL (>= 2)
Version0.3

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Files

NAMESPACE
CHANGELOG
R
R/8fund.R
MD5
DESCRIPTION
man
man/combination.rule.rd
man/combination.rule.restriction.rd
man/CombinePortfolio-package.Rd
INDEX

Questions? Problems? Suggestions? or email at ian@mutexlabs.com.

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