po.grossExp: Perform Gross Exposure Portfolio Optimization
Description
This function performs gross exposure portfolio optimization using LASSO.
Usage
po.grossExp(y0, x0, method = "NOSHORT")
Value
A numeric vector of optimized portfolio weights.
Arguments
- y0
A numeric vector of response values.
- x0
A numeric matrix of predictors.
- method
The regularization method: "NOSHORT" or "EQUAL".