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

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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.

Author
Author: Florian Ziel
Date of publication
2016-06-10 07:49:01
Maintainer
Florian Ziel <ziel@europa-uni.de>
License
GPL (>= 2)
Version
0.3

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Man pages

CombinePortfolio-package
Estimation of optimal combined portfolios based on an 8-fund...

Files in this package

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