Finding weights that minimise variance of return using linear regression

Source: R/weights.R

Finding weights that minimise variance of return using linear regression as described in Fan, Zhang & Yu (2012)

weights_lm(Rt)

Arguments

Rt

Lists of return. e.g. output from sim_simple

Value

List of weights for each period

References

Fan, J., Zhang, J., & Yu, K. (2012). Vast Portfolio Selection With Gross-Exposure Constraints. Journal of the American Statistical Association, 107(498), 592–606. https://doi.org/10.1080/01621459.2012.682825

See also

weights_lasso