README.md

In cdries/mvskPortfolios: Higher Moment Efficient Portfolios

mvskPortfolios

Higher moment efficient portfolios

This R package implements the MVSK portfolio tilting framework presented in the paper:

Boudt, Cornilly, Van Holle and Willems (2020). Algorithmic portfolio tilting to harvest higher moment gains. Heliyon, 6(3). (https://doi.org/10.1016/j.heliyon.2020.e03516)

Installing the developer version of the package is possible by

devtools::install_github("cdries/mvskPortfolios")

The main function for constructing tilted portfolios is mvskPortfolio and the documentation can be accessed by

?mvskPortfolio

cdries/mvskPortfolios documentation built on Feb. 10, 2021, 7:31 p.m.