Tools used in the empirical study in portfolio optimization

Global functions | |
---|---|

analyze_weights | Man page Source code |

analyze_weights_vec | Source code |

cbb.sequence | Source code |

cer | Man page Source code |

compute.Gamma.hat | Source code |

compute.Psi.hat | Source code |

compute.V.hat | Source code |

compute.alpha.hat | Source code |

compute.se.Parzen.pw | Source code |

compute.se.Parzen.pw.log.var | Source code |

criteria | Man page Source code |

gmvp | Man page Source code |

kernel.Parzen | Source code |

log.var.diff | Source code |

returns_out | Man page Source code |

rfactor | Man page Source code |

rmarket | Man page Source code |

roll_gmvp | Man page Source code |

roll_inverse | Man page Source code |

roll_weights | Man page Source code |

sharpe.ratio.diff | Source code |

test_sr | Man page Source code |

test_var | Man page Source code |

truncate_returns | Source code |

turnover | Man page Source code |

weights_diff | Source code |

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