REN (Q7386744)
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Regularization Ensemble for Robust Portfolio Optimization
| Language | Label | Description | Also known as |
|---|---|---|---|
| default for all languages | No label defined |
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| English | REN |
Regularization Ensemble for Robust Portfolio Optimization |
Statements
Portfolio optimization is achieved through a combination of regularization techniques and ensemble methods that are designed to generate stable out-of-sample return predictions, particularly in the presence of strong correlations among assets. The package includes functions for data preparation, parallel processing, and portfolio analysis using methods such as Mean-Variance, James-Stein, LASSO, Ridge Regression, and Equal Weighting. It also provides visualization tools and performance metrics, such as the Sharpe ratio, volatility, and maximum drawdown, to assess the results.
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10 October 2024
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Hardik Dixit
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Shijia Wang
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Cash Looi
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Hong Wang
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