R-universe - flziel (Florian Ziel)

gamlss.lasso - Extra Lasso-Type Additive Terms for GAMLSS

Interface for extra high-dimensional smooth functions for Generalized Additive Models for Location Scale and Shape (GAMLSS) including (adaptive) lasso, ridge, elastic net and least angle regression.

Last updated

2.00 score 7 scripts 359 downloads

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.

Last updated

1.00 score 255 downloads