mathGmvMuCov: Global Minimum Variance Portfolios From Mu and Cov
In PCRA: Companion to Portfolio Construction and Risk Analysis
mathGmvMuCov R Documentation
Global Minimum Variance Portfolios From Mu and Cov
Description
Compute the weights, mean return and volatility of a GMV portfolio based on
user specified mean vector and covariance matrix
Usage
mathGmvMuCov(muRet, volRet, corrRet, digits = 3)
Arguments
muRet
Mean vector
volRet
Volatility vector
corrRet
matrix of correlations
digits
Integer value number of decimal places, default 3
Value
a list contains weights, mean return and volatility of a GMV portfolio
Examples
args(mathGmvMuCov)
PCRA documentation built on July 15, 2026, 9:06 a.m.
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| mathGmvMuCov | R Documentation |
Global Minimum Variance Portfolios From Mu and Cov
Description
Compute the weights, mean return and volatility of a GMV portfolio based on user specified mean vector and covariance matrix
Usage
mathGmvMuCov(muRet, volRet, corrRet, digits = 3)
Arguments
muRet |
Mean vector |
volRet |
Volatility vector |
corrRet |
matrix of correlations |
digits |
Integer value number of decimal places, default 3 |
Value
a list contains weights, mean return and volatility of a GMV portfolio
Examples
args(mathGmvMuCov)
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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