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]