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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

Installation

You can install the development version from Github

# install.packages("devtools")
devtools::install_github("FinYang/stocon")

Sources

Yangzhuoran Yang (2019). stocon: Portfolio selection in a Stochastic control setting. Version 0.0.0.9000. https://github.com/FinYang/stocon.

License

This package is free and open source software, licensed under GPL-3

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