weights_lasso: Additional portfolio selection weights method: LASSO, qp

In FinYang/stocon: Portfolio selection in a Stochastic control setting

Description

Default using lasso after quadratic programming. As a approximation to constrained risk minimization

Usage

weights_qp(Rt, constr = 1)

weights_lasso(Rt, N = NCOL(Rt[[1]]), qp_lasso = TRUE,
  qp_weights = NULL)

Arguments

Rt	Lists of return rt
constr	If numeric, take as the imposed constraint. If NULL, no constraint. Otherwise compute proper constraint using 10-fold cross-validation
qp_lasso	if TRUE, taking no-short-sale portfolio from quadratic programming as y in lasso
qp_weights	can supply weights of o-short-sale portfolio from quadratic programming

Value

List of weights for each period

Functions

• weights_qp: portfolio selection quadratic programming for multiperiod data set

Author(s)

Yangzhuoran Yang

See Also

weights_lm

FinYang/stocon documentation built on Oct. 15, 2019, 8:31 p.m.