Estimation of Optimal Portfolio Weights by Combining Simple Portfolio Strategies

Estimation of optimal portfolio weights as combination of simple portfolio strategies, like the tangency, global minimum variance (GMV) or naive (1/N) portfolio. It is based on a utility maximizing 8-fund rule. Popular special cases like the Kan-Zhou(2007) 2-fund and 3-fund rule or the Tu-Zhou(2011) estimator are nested.


Reference manual

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0.4 by Florian Ziel, 8 months ago

Browse source code at

Authors: Florian Ziel

Documentation:   PDF Manual  

GPL (>= 2) license

See at CRAN