Description Usage Arguments Value Examples

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

1 |

`cov.mat` |
an estimated p*p covariance matrix |

`short` |
logical flag, indicating whether shortsales on the risky assets are allowed |

a numerical vector containing the estimated portfolio weights

1 2 3 4 | ```
data(m.excess.c10sp9003)
assets <- m.excess.c10sp9003[,1:10]
GMVP(cov(assets), short=TRUE)
GMVP(cov(assets), short=FALSE)
``` |

FinCovRegularization documentation built on May 29, 2017, 11:47 a.m.

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