CombinePortfolio (version 0.4)

CombinePortfolio-package: Estimation of optimal combined portfolios based on an 8-fund rule.

Description

This package computes optimal portfolio weights as combination of simple portfolio strategies, like the tangency, GMV or naive (1/N). It is based on an 8-fund rule.

Details

Package:	CombinePortfolio
Type:	Package
Version:	1.0
Date:	2016-06-01
License:	GPL-3
Depends:	R (>= 3.0), methods
URL:	http://www.cran.r-project.org, http://www.bioconductor.org, http://www.statomics.com

References

(list of references)

Examples

# NOT RUN {
 
	ret<- diff(log(EuStockMarkets)) ## sample asset returns
	crule<- combination.rule(ret,detailed.output=TRUE)
	crule$w["1'",] ## Adjusted Kan-Zhou(2007) 2-fund rule
	crule$w["1''2",] ## Adjusted Kan-Zhou(2007) 3-fund rule
	crule$w["124",] ## Combination rule: Tangency+GMV+naive 4-fund rule, plug-in estimator
	crule$delta["124",] ## Combination weights
	crule$V[,c(1,2,4)] ## Combination targets: Tangency, GMV and naive (1/N)

# }