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]