logopt: Log optimal (universal) portfolios

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Implement universal portfolio strategies targeting log-optimal growth

Author
Marc Delvaux
Date of publication
None
Maintainer
Marc Delvaux <mdelvaux@gmail.com>
License
GPL-3
Version
0.0-5
URLs

View on R-Forge

Man pages

bcrp.optim
Find the best constant rebalanced portfolio
best.asset
Time evolution of best asset
best.envelope
Best price at any moment in time
bh
Buy and Hold portfolio
crp
Constant Rebalanced portfolio
logopt-package
Universal log-optimal portfolios.
mult.upgrade
Portfolio selection using multiplicative upgrades
nn.gyorfi
Portfolio selection using nearest neighbor
nyse.cover.1962.1984
Some NYSE stocks as used by Cover
nyse.gyorfi.1962.2006
Some NYSE stocks as used by Gyorfi
oracle
Show time evolution of absolute best possible portfoliobest
scrp
Successive Constant Rebalanced Portfolio
switching.portfolio
Portfolio selection using switching
universal.cover
Universal portfolio selection algorithm from Cover
universal.cover.random
Universal portfolio selection algorithm from Cover
w2x
From wealth time series to prices relative time series
worst.asset
Time evolution of worst asset
worst.envelope
Worst price at any moment in time
wscrp
Weighted Successive Constant Rebalanced Portfolio

Files in this package

logopt
logopt/data
logopt/data/datalist
logopt/data/nyse.gyorfi.1962.2006.rda
logopt/data/nyse.cover.1962.1984.rda
logopt/R
logopt/R/logopt.R
logopt/NAMESPACE
logopt/inst
logopt/inst/doc
logopt/inst/doc/logopt.pdf
logopt/CHANGES
logopt/DESCRIPTION
logopt/man
logopt/man/bcrp.optim.Rd
logopt/man/best.asset.Rd
logopt/man/nyse.cover.1962.1984.Rd
logopt/man/crp.Rd
logopt/man/universal.cover.Rd
logopt/man/worst.envelope.Rd
logopt/man/universal.cover.random.Rd
logopt/man/wscrp.Rd
logopt/man/oracle.Rd
logopt/man/logopt-package.Rd
logopt/man/nyse.gyorfi.1962.2006.Rd
logopt/man/w2x.Rd
logopt/man/worst.asset.Rd
logopt/man/nn.gyorfi.Rd
logopt/man/scrp.Rd
logopt/man/best.envelope.Rd
logopt/man/switching.portfolio.Rd
logopt/man/mult.upgrade.Rd
logopt/man/bh.Rd