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.


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install.packages("CombinePortfolio")

0.4 by Florian Ziel, 4 months ago


Browse source code at https://github.com/cran/CombinePortfolio


Authors: Florian Ziel


Documentation:   PDF Manual  


GPL (>= 2) license



See at CRAN