CombinePortfolio: Estimation of Optimal Portfolio Weights by Combining Simple Portfolio Strategies

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: 0.3
Depends: R (≥ 3.0.2)
Published: 2016-06-10
Author: Author: Florian Ziel
Maintainer: Florian Ziel <ziel at europa-uni.de>
License: GPL-2 | GPL-3 [expanded from: GPL (≥ 2)]
NeedsCompilation: no
Materials: ChangeLog
CRAN checks: CombinePortfolio results

Downloads:

Reference manual: CombinePortfolio.pdf
Package source: CombinePortfolio_0.3.tar.gz
Windows binaries: r-devel: CombinePortfolio_0.3.zip, r-release: CombinePortfolio_0.3.zip, r-oldrel: CombinePortfolio_0.3.zip
OS X El Capitan binaries: r-release: CombinePortfolio_0.3.tgz
OS X Mavericks binaries: r-oldrel: CombinePortfolio_0.3.tgz
Old sources: CombinePortfolio archive

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