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CombinePortfolio (version 0.4)

Estimation of Optimal Portfolio Weights by Combining Simple Portfolio Strategies

Description

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

install.packages('CombinePortfolio')

Monthly Downloads

173

Version

0.4

License

GPL (>= 2)

Maintainer

Florian Ziel

Last Published

February 10th, 2019

Functions in CombinePortfolio (0.4)

CombinePortfolio-package

Estimation of optimal combined portfolios based on an 8-fund rule.
combination.rule

Function for estimating portfolio weights by the 8fund rule
combination.rule.restriction

Function for estimating portfolio weights of a restricted 8-fund rule