CombinePortfolio: Estimation of Optimal Portfolio Weights by Combining Simple Portfolio Strategies

Estimation of optimal portfolio weights as combination of simple portfolio strategies, like the tangency, global minimum variance (GMV) or naive (1/N) portfolio. It is based on a utility maximizing 8-fund rule. Popular special cases like the Kan-Zhou(2007) 2-fund and 3-fund rule or the Tu-Zhou(2011) estimator are nested.

Version: 0.4
Depends: R (≥ 3.0.2)
Published: 2019-02-10
DOI: 10.32614/CRAN.package.CombinePortfolio
Author: Florian Ziel
Maintainer: Florian Ziel <florian.ziel at>
License: GPL-2 | GPL-3 [expanded from: GPL (≥ 2)]
NeedsCompilation: no
Materials: ChangeLog
CRAN checks: CombinePortfolio results


Reference manual: CombinePortfolio.pdf


Package source: CombinePortfolio_0.4.tar.gz
Windows binaries: r-devel:, r-release:, r-oldrel:
macOS binaries: r-release (arm64): CombinePortfolio_0.4.tgz, r-oldrel (arm64): CombinePortfolio_0.4.tgz, r-release (x86_64): CombinePortfolio_0.4.tgz, r-oldrel (x86_64): CombinePortfolio_0.4.tgz
Old sources: CombinePortfolio archive


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