CombinePortfolio: Estimation of Optimal Portfolio Weights by Combining Simple Portfolio Strategies
Version 0.3

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

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

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CombinePortfolio documentation built on May 30, 2017, 12:30 a.m.