po.covShrink {REN} | R Documentation |
Perform Shrinkage-Based Portfolio Optimization
Description
This function uses covariance shrinkage techniques for portfolio optimization.
Usage
po.covShrink(y0, x0)
Arguments
y0 |
A numeric vector of response values. |
x0 |
A numeric matrix of predictors. |
Value
A numeric vector of optimized portfolio weights.
[Package REN version 0.1.0 Index]