po.SW.lasso {REN} | R Documentation |
Perform LASSO Regularization with Stochastic Weight Portfolio Optimization
Description
This function performs portfolio optimization using LASSO regularization and stochastic weight selection.
Usage
po.SW.lasso(y0, x0, b, sample)
Arguments
y0 |
A numeric vector of response values. |
x0 |
A numeric matrix of predictors. |
b |
Number of assets to select in each sample. |
sample |
Number of random samples to generate. |
Value
A numeric vector of optimized portfolio weights.
[Package REN version 0.1.0 Index]