po.covShrink {REN}R Documentation

Perform Shrinkage-Based Portfolio Optimization

Description

This function uses covariance shrinkage techniques for portfolio optimization.

Usage

po.covShrink(y0, x0)

Arguments

y0

A numeric vector of response values.

x0

A numeric matrix of predictors.

Value

A numeric vector of optimized portfolio weights.


[Package REN version 0.1.0 Index]