All functions
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beta_function()
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The beta function used in he EM algorithm |
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c_function()
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The comsumption function used in the EM algorithm |
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EM()
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Wrapper to iterate E and M steps. |
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power_u()
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Power utility |
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qp_weights_do()
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portfolio quadratic programming |
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round_EM()
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The iteration fucntion used in the EM algorithm |
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sim_simple()
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Return Simulation from multivariate normal distribution |
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value_varmean()
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The Variance-Mean value function used in the EM algorithm |
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weights_qp() weights_lasso()
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Additional portfolio selection weights method: LASSO, qp |
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weights_lm()
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Finding weights that minimise variance of return using linear regression |