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.
| Version: | 0.4 |
| Depends: | R (≥ 3.0.2) |
| Published: | 2019-02-10 |
| DOI: | 10.32614/CRAN.package.CombinePortfolio |
| Author: | Florian Ziel |
| Maintainer: | Florian Ziel <florian.ziel at uni-due.de> |
| License: | GPL-2 | GPL-3 [expanded from: GPL (≥ 2)] |
| NeedsCompilation: | no |
| Materials: | ChangeLog |
| CRAN checks: | CombinePortfolio results |
| Reference manual: | CombinePortfolio.pdf |
| Package source: | CombinePortfolio_0.4.tar.gz |
| Windows binaries: | r-devel: CombinePortfolio_0.4.zip, r-release: CombinePortfolio_0.4.zip, r-oldrel: CombinePortfolio_0.4.zip |
| macOS binaries: | r-release (arm64): CombinePortfolio_0.4.tgz, r-oldrel (arm64): CombinePortfolio_0.4.tgz, r-release (x86_64): CombinePortfolio_0.4.tgz, r-oldrel (x86_64): CombinePortfolio_0.4.tgz |
| Old sources: | CombinePortfolio archive |
Please use the canonical form https://CRAN.R-project.org/package=CombinePortfolio to link to this page.