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

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Description

This package computes optimal portfolio weights as combination of simple portfolio strategies, like the tangency, GMV or naive (1/N). It is based on an 8-fund rule.

Details

Package: CombinePortfolio
Type: Package
Version: 1.0
Date: 2016-06-01
License: GPL-3
Depends: R (>= 3.0), methods
URL: http://www.cran.r-project.org, http://www.bioconductor.org, http://www.statomics.com

Author(s)

Code: Florian Ziel
Documentation: Florian Ziel
Maintainer: Florian Ziel <ziel@europa-uni.de>

References

(list of references)

Examples

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	ret<- diff(log(EuStockMarkets)) ## sample asset returns
	crule<- combination.rule(ret,detailed.output=TRUE)
	crule$w["1'",] ## Adjusted Kan-Zhou(2007) 2-fund rule
	crule$w["1''2",] ## Adjusted Kan-Zhou(2007) 3-fund rule
	crule$w["124",] ## Combination rule: Tangency+GMV+naive 4-fund rule, plug-in estimator
	crule$delta["124",] ## Combination weights
	crule$V[,c(1,2,4)] ## Combination targets: Tangency, GMV and naive (1/N)

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