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