GMVP: Global Minimum Variance Portfolio

Description Usage Arguments Value Examples

View source: R/GMVP.R

Description

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

Usage

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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

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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.