optimal.portfolio.mad.long.short: Portfolio Optimization minimizing MAD (Active Extension)

Description Usage Arguments Value Author(s)

View source: R/optimal.portfolio.mad.long.short.R

Description

optimal.portfolio.mad.long.short conducts a Portfolio Optimization minimizing Mean Absolute Deviation (MAD) based on Konno and Yamazaki (1991) including an active extension

Usage

1

Arguments

model

the portfolio.model to compute the portfolio of

Value

the portfolio.model including the newly computed optimal portfolio

Author(s)

Ronald Hochreiter, ronald@algorithmic.finance


portfolio.optimization documentation built on May 2, 2019, 8:16 a.m.