REN

Regularization Ensemble for Robust Portfolio Optimization

CRAN Package

Portfolio optimization is achieved through a combination of regularization techniques and ensemble methods that are designed to generate stable out-of-sample return predictions, particularly in the presence of strong correlations among assets. The package includes functions for data preparation, parallel processing, and portfolio analysis using methods such as Mean-Variance, James-Stein, LASSO, Ridge Regression, and Equal Weighting. It also provides visualization tools and performance metrics, such as the Sharpe ratio, volatility, and maximum drawdown, to assess the results.


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Insights

Last 30 days

This package has been downloaded 131 times in the last 30 days. Enough downloads to make a small wave in the niche community. The curiosity is spreading! The following heatmap shows the distribution of downloads per day. Yesterday, it was downloaded 2 times.

Sun
Mon
Tue
Wed
Thu
Fri
Sat
0 downloadsMar 2, 2025
0 downloadsMar 3, 2025
5 downloadsMar 4, 2025
3 downloadsMar 5, 2025
4 downloadsMar 6, 2025
4 downloadsMar 7, 2025
1 downloadsMar 8, 2025
3 downloadsMar 9, 2025
3 downloadsMar 10, 2025
8 downloadsMar 11, 2025
12 downloadsMar 12, 2025
4 downloadsMar 13, 2025
3 downloadsMar 14, 2025
4 downloadsMar 15, 2025
3 downloadsMar 16, 2025
1 downloadsMar 17, 2025
11 downloadsMar 18, 2025
1 downloadsMar 19, 2025
7 downloadsMar 20, 2025
9 downloadsMar 21, 2025
3 downloadsMar 22, 2025
2 downloadsMar 23, 2025
4 downloadsMar 24, 2025
3 downloadsMar 25, 2025
4 downloadsMar 26, 2025
4 downloadsMar 27, 2025
2 downloadsMar 28, 2025
1 downloadsMar 29, 2025
5 downloadsMar 30, 2025
2 downloadsMar 31, 2025
13 downloadsApr 1, 2025
2 downloadsApr 2, 2025
0 downloadsApr 3, 2025
0 downloadsApr 4, 2025
0 downloadsApr 5, 2025
1
13

The following line graph shows the downloads per day. You can hover over the graph to see the exact number of downloads per day.

Last 365 days

This package has been downloaded 891 times in the last 365 days. Not bad! The download count is somewhere between 'small-town buzz' and 'moderate academic conference'. The day with the most downloads was Oct 11, 2024 with 40 downloads.

The following line graph shows the downloads per day. You can hover over the graph to see the exact number of downloads per day.

Data provided by CRAN


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Dependencies

  • Imports10 packages
  • Suggests5 packages