Description Usage Arguments Value Author(s)
View source: R/optimal.portfolio.mad.long.short.R
optimal.portfolio.mad.long.short
conducts a Portfolio Optimization minimizing Mean
Absolute Deviation (MAD) based on Konno and Yamazaki (1991) including an
active extension
1 |
model |
the portfolio.model to compute the portfolio of |
the portfolio.model including the newly computed optimal portfolio
Ronald Hochreiter, ronald@algorithmic.finance
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