Nothing
library(cccp)
## Setting of parameters
Nassets <- ncol(rzoo)
Nobs <- nrow(rzoo)
mu <- colMeans(rzoo)
S <- cov(rzoo)
SR <- sqrm(S)
delta <- sqrt(qchisq(0.9, Nassets))
## Determining feasible risk aversion
SigMax <- max(colSds(rzoo))
SigMin <- min(colSds(rzoo))
ra <- seq(SigMin * 1.1, SigMax * 0.9, length.out = 10) / SigMax
## Initializing objects for MV and robust counterpart results
RCans <- MVans <- matrix(NA,
nrow = 10,
ncol = Nassets + 2)
## Computing points on efficient frontier and allocations
for(i in 1:10){
## minimum-variance
wmv <- PMV(SRoot = SR, mu = mu, SigTerm = SigMin / ra[i])
MVans[i, ] <- c(sqrt(t(wmv) %*% S %*% wmv),
crossprod(mu, wmv),
wmv)
## robust counterpart
theta <- ra[i] + (1 - ra[i]) * delta / sqrt(Nobs)
wrc <- PMV(SRoot = SR, mu = mu, SigTerm = SigMin / theta)
RCans[i, ] <- c(sqrt(t(wrc) %*% S %*% wrc),
crossprod(mu, wrc),
wrc)
}
Any scripts or data that you put into this service are public.
Add the following code to your website.
For more information on customizing the embed code, read Embedding Snippets.