Package: epo 0.1.0.9000

epo: Enhanced Portfolio Optimization (EPO)

Implements the Enhanced Portfolio Optimization (EPO) method of Pedersen, Babu and Levine (2021) <doi:10.1080/0015198X.2020.1854543>. EPO stabilizes mean-variance optimization by shrinking correlations toward zero, which addresses estimation error in both the risk model and expected returns. Both the "Simple EPO" and the "Anchored EPO" (an anchor/benchmark-aware, Black-Litterman-like extension) are provided.

Authors:Bernardo Reckziegel [aut, cre, cph]

epo_0.1.0.9000.tar.gz
epo_0.1.0.9000.zip(r-4.7-any)epo_0.1.0.9000.zip(r-4.6-any)epo_0.1.0.9000.zip(r-4.5-any)
epo_0.1.0.9000.tgz(r-4.6-any)epo_0.1.0.9000.tgz(r-4.5-any)
epo_0.1.0.9000.tar.gz(r-4.7-any)epo_0.1.0.9000.tar.gz(r-4.6-any)
epo_0.1.0.9000.tgz(r-4.6-emscripten)
manual.pdf |manual.html✨
DESCRIPTION |NEWS
card.svg |card.png
epo/json (API)

# Install 'epo' in R:
install.packages('epo', repos = c('https://reckziegel.r-universe.dev', 'https://cloud.r-project.org'))

Bug tracker:https://github.com/reckziegel/epo/issues

Pkgdown/docs site:https://reckziegel.github.io

On CRAN:

Conda:

bayesian-optimizationblack-littermanmean-variance-optimizationprincipal-component-analysisrobust-optimization

3.95 score 18 stars 8 scripts 386 downloads 1 exports 16 dependencies

Last updated from:3ef7d092e3. Checks:9 OK. Indexed: yes.

TargetResultTimeFilesSyslog
linux-develOK158
source / vignettesOK164
linux-releaseOK112
macos-releaseOK93
macos-oldrelOK72
windows-develOK61
windows-releaseOK67
windows-oldrelOK52
wasm-releaseOK125

Exports:epo

Dependencies:assertthatclidplyrgenericsgluelifecyclemagrittrpillarpkgconfigR6rlangtibbletidyselectutf8vctrswithr

Readme and manuals

Help Manual

Help pageTopics
Enhanced Portfolio Optimization (EPO)epo epo.default epo.matrix epo.tbl epo.xts