po.grossExp {REN} | R Documentation |
Perform Gross Exposure Portfolio Optimization
Description
This function performs gross exposure portfolio optimization using LASSO.
Usage
po.grossExp(y0, x0, method = "NOSHORT")
Arguments
y0 |
A numeric vector of response values. |
x0 |
A numeric matrix of predictors. |
method |
The regularization method: "NOSHORT" or "EQUAL". |
Value
A numeric vector of optimized portfolio weights.
[Package REN version 0.1.0 Index]