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REN (version 0.1.0)

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".