GMVP: Global Minimum Variance Portfolio

In FinCovRegularization: Covariance Matrix Estimation and Regularization for Finance

Description

Computing a global minimum variance portfolio weights from the estimated covariance matrix of return series.

Usage

GMVP(cov.mat, short = TRUE)

Arguments

cov.mat	an estimated p*p covariance matrix
short	logical flag, indicating whether shortsales on the risky assets are allowed

Value

a numerical vector containing the estimated portfolio weights

Examples

data(m.excess.c10sp9003)
assets <- m.excess.c10sp9003[,1:10]
GMVP(cov(assets), short=TRUE)
GMVP(cov(assets), short=FALSE)

Example output

    ABT     LLY     MRK     PFE       F      GM      BP     CVX      RD     XOM 
 0.2439  0.0567  0.0011  0.0131 -0.0284  0.1025  0.0843  0.0993 -0.1228  0.5502 
   ABT    LLY    MRK    PFE      F     GM     BP    CVX     RD    XOM 
0.2320 0.0590 0.0000 0.0000 0.0000 0.0853 0.0514 0.0532 0.0000 0.5191 

FinCovRegularization documentation built on May 1, 2019, 8:48 p.m.