po.bhu: Perform Portfolio Optimization Using Clusters and LASSO
In REN: Regularization Ensemble for Robust Portfolio Optimization
po.bhu R Documentation
Perform Portfolio Optimization Using Clusters and LASSO
Description
This function performs portfolio optimization using clustering and LASSO regularization.
Usage
po.bhu(y0, x0, group, rep)
Arguments
y0
A numeric vector of response values.
x0
A numeric matrix of predictors.
group
A list of asset clusters.
rep
The number of repetitions for optimization.
Value
A numeric vector of optimized portfolio weights.
REN documentation built on Oct. 10, 2024, 5:06 p.m.
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| po.bhu | R Documentation |
Perform Portfolio Optimization Using Clusters and LASSO
Description
This function performs portfolio optimization using clustering and LASSO regularization.
Usage
po.bhu(y0, x0, group, rep)
Arguments
y0 |
A numeric vector of response values. |
x0 |
A numeric matrix of predictors. |
group |
A list of asset clusters. |
rep |
The number of repetitions for optimization. |
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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