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.

Package details

AuthorFlorian Ziel
MaintainerFlorian Ziel <>
LicenseGPL (>= 2)
Package repositoryView on CRAN
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CombinePortfolio documentation built on May 1, 2019, 10:24 p.m.