Find the best constant rebalanced portfolio

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Description

Optimize a vector of portfolio weights, constant in time, that results in the best terminal wealth.

Usage

1
bcrp.optim(x, maxit = 20, clean.up = TRUE, clean.up.eps = 1e-10, fast.only = FALSE)

Arguments

x

Time series of relative prices

maxit

Maximum number of iterations, passed to optim

clean.up

Typically some portfolio components are zero, but the optimization procedure stops with very small value. If clean.up is true, very small values are forced to zero.

clean.up.eps

If clean.up is true, the values less than clean.up.eps are forced to zero.

fast.only

Only use the fast but slightly inaccurate version of CRP optimization. The fast algorithm uses a quadratic approximation of the loss function so that quadprod can be used for an algebraic solution.

Details

TBD

Value

The optimal set of portfolio weights.

Author(s)

Marc Delvaux

References

TBD, the article that introduced the quadratic approximation (Gyorfi log-optimal site)