weights_lm: Finding weights that minimise variance of return using linear...
In FinYang/stocon: Portfolio selection in a Stochastic control setting
Description
Usage
Arguments
Value
Author(s)
References
See Also
Description
Finding weights that minimise variance of return using linear regression as described in
Fan, Zhang & Yu (2012)
Usage
1
weights_lm(Rt)
Arguments
Rt
Lists of return. e.g. output from sim_simple
Value
List of weights for each period
Author(s)
Yangzhuoran Yang
References
Fan, J., Zhang, J., & Yu, K. (2012). Vast Portfolio Selection With Gross-Exposure Constraints. Journal of the American Statistical Association, 107(498), 592–606. https://doi.org/10.1080/01621459.2012.682825
See Also
FinYang/stocon documentation built on Oct. 15, 2019, 8:31 p.m.
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Description Usage Arguments Value Author(s) References See Also
Description
Finding weights that minimise variance of return using linear regression as described in Fan, Zhang & Yu (2012)
Usage
1 | weights_lm(Rt)
|
Arguments
Rt |
Lists of return. e.g. output from |
Value
List of weights for each period
Author(s)
Yangzhuoran Yang
References
Fan, J., Zhang, J., & Yu, K. (2012). Vast Portfolio Selection With Gross-Exposure Constraints. Journal of the American Statistical Association, 107(498), 592–606. https://doi.org/10.1080/01621459.2012.682825
See Also
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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