Algorithms and functions for On-line Portfolio Selection

alg_Anticor | Anticor Algorithm |

alg_BCRP | Best Constant Rebalanced Portfolio Algorithm (BCRP) |

alg_BH | Buy-and-Hold (BH) |

alg_BHbest | Buy-and-Hold best asset (BHbest) |

alg_CRP | Constant Rebalanced Portfolio Algorithm (CRP) |

alg_CWMR | Confidence Weighted Mean Reversion Algorithm (CWMR) |

alg_EG | Exponential Gradient Algorithm (UP) |

alg_PAMR | Passive Aggressive Mean Reversion Algorithm (PAMR) |

alg_RPP_theoretical | Peservation Price Policy for Portfolio Selection (RPP) |

alg_SCRP | Successive Constant Rebalanced Portfolio Algorithm (SCRP) |

alg_UP | Universal Portfolio Algorithm (UP) |

alg_VT | Volatility Timing Algorithm (VT) |

DAX | Daily returns from German stocks listed in the DAX |

DJIA | DJIA daily returns |

gen_kelly_market | Generate Kelly-market |

gen_market_instance | Generate market instances |

gen_rand_portfolios | Generate random portfolios |

gen_sample_portfolios | Generate sample portfolios |

gen_virtual_market | Generate virtual market |

get_asset_prices | Get asset prices from price relatives |

get_conversion_rates | Get conversion rates |

get_growth_rate | Get exponential growth rate |

get_kelly_seq | Get Kelly Sequence from price relatives |

get_price_relatives | Get price relatives |

get_wealth | Get portfolio wealth |

NYSE | NYSE daily returns |

olpsR-package | olpsR: Algorithms and functions for On-line Portfolio... |

plot.OLP | Plot OLP objects |

print.OLP | Print OLP objects |

projsplx | Projection onto simplex |

projsplx_2 | Projection onto simplex |

SP500 | SP500 daily returns |

TSE | TSE daily returns |

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