r-CombinePortfolio

Description

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.

Metadata

Version

0.4

License

Unknown

Platforms (75)

Darwin

FreeBSD

Genode

GHCJS

Linux

MMIXware

NetBSD

none

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aarch64-darwin
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aarch64-netbsd
aarch64-none
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arm-none
armv5tel-linux
armv6l-linux
armv6l-netbsd
armv6l-none
armv7a-darwin
armv7a-linux
armv7a-netbsd
armv7l-linux
armv7l-netbsd
avr-none
i686-cygwin
i686-darwin
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i686-linux
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i686-none
i686-openbsd
i686-windows
javascript-ghcjs
loongarch64-linux
m68k-linux
m68k-netbsd
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microblaze-linux
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microblazeel-linux
microblazeel-none
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mipsel-linux
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Platforms75 (75)

Platforms (75)