Class_MeanVar_portfolio | R Documentation |
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:
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 |
summary.MeanVar_portfolio summary method for the class, new_MeanVar_portfolio class constructor, validate_MeanVar_portfolio class validator, MeanVar_portfolio class helper.
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