Global Minimum Variance Portfolio

Apply hard-thresholding operator on a covariance matrix with a hard-thresholding parameter.

1 | ```
hard.thresholding(sigma, threshold = 0.5)
``` |

`sigma` |
a p*p covariance matrix |

`threshold` |
hard-thresholding parameter |

a regularized covariance matrix after hard-thresholding operation

"High-Dimensional Covariance Estimation" by Mohsen Pourahmadi

1 2 3 | ```
data(m.excess.c10sp9003)
cov.SAM <- cov(m.excess.c10sp9003)
hard.thresholding(cov.SAM, threshold = 0.001)
``` |

Questions? Problems? Suggestions? Tweet to @rdrrHQ or email at ian@mutexlabs.com.

Please suggest features or report bugs with the GitHub issue tracker.

All documentation is copyright its authors; we didn't write any of that.