PGMV: Global Minimum Variance Portfolio

In FRAPO: Financial Risk Modelling and Portfolio Optimisation with R

Global Minimum Variance Portfolio

Description

This function returns the solution of the global minimum variance portfolio (long-only).

Usage

PGMV(Returns, percentage = TRUE, optctrl = ctrl(), ...)

Arguments

Returns	A rectangular array of return data.
percentage	Logical, whether the weights shall be returned as decimals or percentages (default).
optctrl	Object of class Rcpp_CTRL.
...	Arguments are passed down to cov.

Value

An object of formal class "PortSol".

Note

The optimisation is conducted by calling cccp().

Author(s)

Bernhard Pfaff

See Also

"PortSol"

Examples

data(MultiAsset)
Rets <- returnseries(MultiAsset, method = "discrete", trim = TRUE)
PGMV(Rets)

FRAPO documentation built on Jan. 25, 2026, 9:07 a.m.