optimal.portfolio.mad.long.short {portfolio.optimization} | R Documentation |
optimal.portfolio.mad.long.short
conducts a Portfolio Optimization minimizing Mean
Absolute Deviation (MAD) based on Konno and Yamazaki (1991) including an
active extension
optimal.portfolio.mad.long.short(model)
model |
the portfolio.model to compute the portfolio of |
the portfolio.model including the newly computed optimal portfolio
Ronald Hochreiter, ronald@algorithmic.finance