po.SW.lasso: Perform LASSO Regularization with Stochastic Weight Portfolio...
In REN: Regularization Ensemble for Robust Portfolio Optimization
po.SW.lasso R Documentation
Perform LASSO Regularization with Stochastic Weight Portfolio Optimization
Description
This function performs portfolio optimization using LASSO regularization and stochastic weight selection.
Usage
po.SW.lasso(y0, x0, b, sample)
Arguments
y0
A numeric vector of response values.
x0
A numeric matrix of predictors.
b
Number of assets to select in each sample.
sample
Number of random samples to generate.
Value
A numeric vector of optimized portfolio weights.
REN documentation built on Oct. 10, 2024, 5:06 p.m.
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| po.SW.lasso | R Documentation |
Perform LASSO Regularization with Stochastic Weight Portfolio Optimization
Description
This function performs portfolio optimization using LASSO regularization and stochastic weight selection.
Usage
po.SW.lasso(y0, x0, b, sample)
Arguments
y0 |
A numeric vector of response values. |
x0 |
A numeric matrix of predictors. |
b |
Number of assets to select in each sample. |
sample |
Number of random samples to generate. |
Value
A numeric vector of optimized portfolio weights.
R Package Documentation
Browse R Packages
We want your feedback!
Note that we can't provide technical support on individual packages. You should contact the package authors for that.
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