CombinePortfolio0.4 package

Estimation of Optimal Portfolio Weights by Combining Simple Portfolio Strategies

combination.rule.rd

Function for estimating portfolio weights by the 8fund rule

combination.rule.restriction.rd

Function for estimating portfolio weights of a restricted 8-fund rule

CombinePortfolio-package

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

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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.

  • Maintainer: Florian Ziel
  • License: GPL (>= 2)
  • Last published: 2019-02-10