Description Usage Arguments Value Examples
Computing a Risk Parity portfolio weights from the estimated covariance matrix of return series.
1 | RiskParity(cov.mat)
|
cov.mat |
an estimated p*p covariance matrix |
a numerical vector containing the estimated portfolio weights
1 2 3 | data(m.excess.c10sp9003)
assets <- m.excess.c10sp9003[,1:10]
RiskParity(cov(assets))
|
ABT LLY MRK PFE F GM BP CVX RD XOM
0.1347 0.0949 0.0658 0.0721 0.0743 0.1088 0.1029 0.1239 0.0849 0.1378
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