po.TZT {REN}R Documentation

Perform Portfolio Optimization Using TZT Method

Description

This function performs portfolio optimization using the TZT method.

Usage

po.TZT(x0, gamma)

Arguments

x0

A numeric matrix of asset returns.

gamma

A numeric parameter for the TZT method.

Value

A numeric vector of optimized portfolio weights.


[Package REN version 0.1.0 Index]