Tools used in the empirical study in portfolio optimization

analyze_weights | Anayize the weights. |

cer | Compute the certainty equivalent return. |

criteria | Compute the crieria that evaluate the performance of... |

gmvp | Compute the optimal weights of global minimum variance... |

returns_out | Compute the out-of-sample returns given the weights and... |

rfactor | Generate the excess returns using factor model. |

roll_gmvp | Compute the rolling weights given a function that returns... |

roll_inverse | Rolling apply a function that returns a covariance or inverse... |

roll_weights | Compute the weights given a list of inverse covariance... |

test_sr | Robust Performance Hypothesis Testing with the Sharpe Ratio... |

test_var | Robust Performance Hypothesis Testing with the variance using... |

turnover | Compute the turnover |

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