`R/additional_weights.R`

`weights_lasso.Rd`

Default using lasso after quadratic programming. As a approximation to constrained risk minimization

weights_qp(Rt, constr = 1) weights_lasso(Rt, N = NCOL(Rt[[1]]), qp_lasso = TRUE, qp_weights = NULL)

Rt | Lists of return rt |
---|---|

constr | If numeric, take as the imposed constraint. If NULL, no constraint. Otherwise compute proper constraint using 10-fold cross-validation |

qp_lasso | if TRUE, taking no-short-sale portfolio from quadratic programming as y in lasso |

qp_weights | can supply weights of o-short-sale portfolio from quadratic programming |

List of weights for each period

`weights_qp`

: portfolio selection quadratic programming for multiperiod data set