CRAN/E | CombinePortfolio

CombinePortfolio

Estimation of Optimal Portfolio Weights by Combining Simple Portfolio Strategies

Installation

About

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.

Key Metrics

Version 0.4
R ≥ 3.0.2
Published 2019-02-10 1895 days ago
Needs compilation? no
License GPL-2
License GPL-3
CRAN checks CombinePortfolio results

Downloads

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Maintainer

Maintainer

Florian Ziel

florian.ziel@uni-due.de

Authors

Florian Ziel

Material

ChangeLog
Reference manual
Package source

macOS

r-release

arm64

r-oldrel

arm64

r-release

x86_64

r-oldrel

x86_64

Windows

r-devel

x86_64

r-release

x86_64

r-oldrel

x86_64

Old Sources

CombinePortfolio archive

Depends

R ≥ 3.0.2