REN-package {REN} | R Documentation |
REN: Regularization Ensemble for Robust Portfolio Optimization
Description
Portfolio optimization is achieved through a combination of regularization techniques and ensemble methods that are designed to generate stable out-of-sample return predictions, particularly in the presence of strong correlations among assets. The package includes functions for data preparation, parallel processing, and portfolio analysis using methods such as Mean-Variance, James-Stein, LASSO, Ridge Regression, and Equal Weighting. It also provides visualization tools and performance metrics, such as the Sharpe ratio, volatility, and maximum drawdown, to assess the results.
Author(s)
Maintainer: Bonsoo Koo bonsoo.koo@monash.edu
Authors:
Hardik Dixit
Shijia Wang
Cash Looi
Hong Wang
[Package REN version 0.1.0 Index]