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REN (version 0.1.0)

REN-package: 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.

Arguments

Author

Maintainer: Bonsoo Koo bonsoo.koo@monash.edu

Authors:

  • Hardik Dixit

  • Shijia Wang

  • Cash Looi

  • Hong Wang