Class_MeanVar_portfolio: S3 class MeanVar_portfolio

Class_MeanVar_portfolioR Documentation

S3 class MeanVar_portfolio

Description

Class MeanVar_portfolio is designed to construct mean-variance portfolios with provided estimators of the mean vector, covariance matrix, and inverse covariance matrix. It includes the following elements:

Slots

Element Description
call the function call with which it was created
cov_mtrx the sample covariance matrix of the asset returns
inv_cov_mtrx the inverse of the sample covariance matrix
means sample mean vector of the asset returns
weights portfolio weights
Port_Var portfolio variance
Port_mean_return expected portfolio return
Sharpe portfolio Sharpe ratio

See Also

summary.MeanVar_portfolio summary method for the class, new_MeanVar_portfolio class constructor, validate_MeanVar_portfolio class validator, MeanVar_portfolio class helper.


HDShOP documentation built on Nov. 10, 2022, 5:12 p.m.