mathGmv: Global Minimum Variance Portfolio (GMV)
In PCRA: Companion to Portfolio Construction and Risk Analysis
mathGmv R Documentation
Global Minimum Variance Portfolio (GMV)
Description
Computes the weights of a GMV portfolio, and its mean return
and volatility based on portfolio asset returns
Usage
mathGmv(returns, digits = NULL)
Arguments
returns
Matrix or xts object of returns
digits
Integer value of number of significant digits, default NULL
Value
List of GMV portfolio weights, mean return and volatility
Examples
args(mathGmv)
PCRA documentation built on Aug. 30, 2023, 9:09 a.m.
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| mathGmv | R Documentation |
Global Minimum Variance Portfolio (GMV)
Description
Computes the weights of a GMV portfolio, and its mean return and volatility based on portfolio asset returns
Usage
mathGmv(returns, digits = NULL)
Arguments
returns |
Matrix or xts object of returns |
digits |
Integer value of number of significant digits, default NULL |
Value
List of GMV portfolio weights, mean return and volatility
Examples
args(mathGmv)
R Package Documentation
Browse R Packages
We want your feedback!
Note that we can't provide technical support on individual packages. You should contact the package authors for that.
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