The R package stocon provides function for optimal portfolio selection via dimensional reduction in a stochastic optimal control setting

Installation

You can install the development version from Github

Sources

Yangzhuoran Yang (2019). stocon: Portfolio selection in a Stochastic control setting. Version 0.0.0.9000. https://github.com/FinYang/stocon.

License

This package is free and open source software, licensed under GPL-3