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REN (version 0.1.0)

po.covShrink: Perform Shrinkage-Based Portfolio Optimization

Description

This function uses covariance shrinkage techniques for portfolio optimization.

Usage

po.covShrink(y0, x0)

Value

A numeric vector of optimized portfolio weights.

Arguments

y0

A numeric vector of response values.

x0

A numeric matrix of predictors.