po.avg: Perform LASSO or Ridge Regression for Portfolio Optimization
In REN: Regularization Ensemble for Robust Portfolio Optimization
po.avg R Documentation
Perform LASSO or Ridge Regression for Portfolio Optimization
Description
This function performs LASSO, Ridge, or Elastic Net regression for portfolio optimization.
Usage
po.avg(y0, x0, method = "LASSO")
Arguments
y0
A numeric vector of response values.
x0
A numeric matrix of predictors.
method
The regularization method: "LASSO", "RIDGE", or "EN" (Elastic Net).
Value
A numeric vector of optimized portfolio weights.
REN documentation built on Oct. 10, 2024, 5:06 p.m.
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| po.avg | R Documentation |
Perform LASSO or Ridge Regression for Portfolio Optimization
Description
This function performs LASSO, Ridge, or Elastic Net regression for portfolio optimization.
Usage
po.avg(y0, x0, method = "LASSO")
Arguments
y0 |
A numeric vector of response values. |
x0 |
A numeric matrix of predictors. |
method |
The regularization method: "LASSO", "RIDGE", or "EN" (Elastic Net). |
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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