stocon: Portfolio selection in a Stochastic control setting
The R package stocon provides function for optimal portfolio selection via dimensional reduction in a stochastic optimal control setting
You can install the development version from Github
# install.packages("devtools") devtools::install_github("FinYang/stocon")
Yangzhuoran Yang (2019). stocon: Portfolio selection in a Stochastic control setting. Version 0.0.0.9000. https://github.com/FinYang/stocon.
This package is free and open source software, licensed under GPL-3