po.avg {REN} | R Documentation |
Perform LASSO or Ridge Regression for Portfolio Optimization
Description
This function performs LASSO, Ridge, or Elastic Net regression for portfolio optimization.
Usage
po.avg(y0, x0, method = "LASSO")
Arguments
y0 |
A numeric vector of response values. |
x0 |
A numeric matrix of predictors. |
method |
The regularization method: "LASSO", "RIDGE", or "EN" (Elastic Net). |
Value
A numeric vector of optimized portfolio weights.
[Package REN version 0.1.0 Index]