Package: REN
Type: Package
Title: Regularization Ensemble for Robust Portfolio Optimization
Version: 0.1.0
Authors@R: c(
    person(given = "Hardik", family = "Dixit", role = "aut"),
    person(given = "Shijia", family = "Wang", role = "aut"),
    person(given = "Bonsoo", family = "Koo", role = c("aut", "cre"), email = "bonsoo.koo@monash.edu"),
    person(given = "Cash", family = "Looi", role = "aut"),
    person(given = "Hong", family = "Wang", role = "aut"))
Maintainer: Bonsoo Koo <bonsoo.koo@monash.edu>
Description: 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.
License: AGPL (>= 3)
Encoding: UTF-8
RoxygenNote: 7.3.2
Imports: lubridate, glmnet, quadprog, doParallel, Matrix, tictoc,
        corpcor, ggplot2, reshape2, foreach, stats, parallel
Suggests: knitr, rmarkdown, KernSmooth, cluster, testthat (>= 3.0.0)
VignetteBuilder: knitr
Config/testthat/edition: 3
Depends: R (>= 2.10)
LazyData: true
Config/pak/sysreqs: libicu-dev
Repository: https://bonsook.r-universe.dev
Date/Publication: 2024-10-15 01:21:52 UTC
RemoteUrl: https://github.com/bonsook/ren
RemoteRef: HEAD
RemoteSha: fe43a89ce0e81763f2aa592cd50b8a9016d1249c
NeedsCompilation: no
Packaged: 2026-07-03 17:37:11 UTC; root
Author: Hardik Dixit [aut],
  Shijia Wang [aut],
  Bonsoo Koo [aut, cre],
  Cash Looi [aut],
  Hong Wang [aut]