po.TZT

This function performs portfolio optimization using the TZT method.

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.

Bonsoo Koo

Regularization Ensemble for Robust Portfolio Optimization

Hardik Dixit

Shijia Wang

Cash Looi

Hong Wang

po.TZT function

<dl><dt>x0</dt>
<dd>A numeric matrix of asset returns.</dd>
<dt>gamma</dt>
<dd>A numeric parameter for the TZT method.</dd></dl>

Arguments

Perform Portfolio Optimization Using TZT Method — po.TZT

<dl>

<dt>x0</dt>
<dd>A numeric matrix of asset returns.</dd>


<dt>gamma</dt>
<dd>A numeric parameter for the TZT method.</dd>

</dl>

po.TZT: Perform Portfolio Optimization Using TZT Method

Description

Usage

Value

Arguments