CombinePortfolio
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.
- Version0.4
- R version≥ 3.0.2
- LicenseGPL-2
- LicenseGPL-3
- Needs compilation?No
- Last release02/10/2019
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Team
Florian Ziel
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- Depends1 package