po.bhu {REN} | R Documentation |
Perform Portfolio Optimization Using Clusters and LASSO
Description
This function performs portfolio optimization using clustering and LASSO regularization.
Usage
po.bhu(y0, x0, group, rep)
Arguments
y0 |
A numeric vector of response values. |
x0 |
A numeric matrix of predictors. |
group |
A list of asset clusters. |
rep |
The number of repetitions for optimization. |
Value
A numeric vector of optimized portfolio weights.
[Package REN version 0.1.0 Index]