CombinePortfolio
Estimation of Optimal Portfolio Weights by Combining Simple Portfolio Strategies
Estimation of optimal portfolio weights as combination of simple portfolio strategies, like the tangency, global minimum variance (GMV) or naive (1/N) portfolio. It is based on a utility maximizing 8-fund rule. Popular special cases like the Kan-Zhou(2007) 2-fund and 3-fund rule or the Tu-Zhou(2011) estimator are nested.
Versions across snapshots
| Version | Repository | File | Size |
|---|---|---|---|
0.4 |
rolling linux/jammy R-4.5 | CombinePortfolio_0.4.tar.gz |
72.8 KiB |
0.4 |
rolling linux/noble R-4.5 | CombinePortfolio_0.4.tar.gz |
72.8 KiB |
0.4 |
rolling source/ R- | CombinePortfolio_0.4.tar.gz |
8.4 KiB |
0.4 |
latest linux/jammy R-4.5 | CombinePortfolio_0.4.tar.gz |
72.8 KiB |
0.4 |
latest linux/noble R-4.5 | CombinePortfolio_0.4.tar.gz |
72.8 KiB |
0.4 |
latest source/ R- | CombinePortfolio_0.4.tar.gz |
8.4 KiB |
0.4 |
2026-04-26 source/ R- | CombinePortfolio_0.4.tar.gz |
8.4 KiB |
0.4 |
2026-04-23 source/ R- | CombinePortfolio_0.4.tar.gz |
8.4 KiB |
0.4 |
2026-04-09 windows/windows R-4.5 | CombinePortfolio_0.4.zip |
75.8 KiB |
0.4 |
2025-04-20 source/ R- | CombinePortfolio_0.4.tar.gz |
8.4 KiB |