[R-SIG-Finance] Backtesting without long-only constraint

d.indjic at iee.org d.indjic at iee.org
Fri Aug 19 19:31:33 CEST 2016


Dear R-ers

 

Are there any libraries enabling the portfolio back testing a la
PortfolioAnalytics's Portfolio.return() with -ve weightings, or relaxed
leverage constraint?

 

Regards

Drago 


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