minVarRiskyLO: Title Minimum Variance Long-Only Risky Assets Portfolio

In PCRA: Companion to Portfolio Construction and Risk Analysis

Title Minimum Variance Long-Only Risky Assets Portfolio

Description

Given a time series of risky asset returns and a target mean return, this function computes the mean and standard deviation of a fully-invested long-only minimum variance portfolio

Usage

minVarRiskyLO(returns, mu)

Arguments

returns	xts multivariate risky asset returns
mu	Portfolio mean return specification

Details

This function uses the PortfolioAnalytics function optimize.portfolio.R and the PCRA function opt.outputMvoPCRA. For details, see the man pages for those function.

Value

A list containing the weights, mean value, standard deviation and Sharpe ratio, with default names Wgts, Mean, StdDeve, SR

Author(s)

R. Douglas Martin

Examples

args(minVarRiskyLO)

PCRA documentation built on July 15, 2026, 9:06 a.m.