po.SW {REN}R Documentation

Perform Stochastic Weight Portfolio Optimization

Description

This function performs stochastic weight portfolio optimization.

Usage

po.SW(x0, b, sample)

Arguments

x0

A numeric matrix of asset returns.

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]