condreg |
Compute the condition number with given penalty parameter |

crbulk |
Computes multiple solutions |

datasnp |
Standard & Poors index |

kgrid |
Return a vector of grid of penalties for cross-validation |

ml_solver |
Compute shrinkage of eigenvalues for condreg |

path_backward |
Compute optimal u of Lemma 1 in JRSSB paper using the backward algorithm |

path_forward |
Compute optimal u of Lemma 1 in JRSSB paper using the forward algorithm |

pfweights |
Compute optimal portfolio weights |

R |
Weekly stock price data |

select_condreg |
Compute the best condition number regularized based based on cross-validation selected penalty parameter |

select_kmax |
Selection of penalty parameter based on cross-validation |

transcost |
Compute transaction cost |