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.

AuthorAuthor: Florian Ziel
Date of publication2016-06-10 07:49:01
MaintainerFlorian Ziel <ziel@europa-uni.de>
LicenseGPL (>= 2)
Version0.3

View on CRAN

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

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

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