tests/testthat/portfolio_files/0002.R

In portfolioBacktest: Automated Backtesting of Portfolios over Multiple Datasets

portfolio_fun <- function(data, ...) {
  X <- diff(log(data$adjusted))[-1]  # compute log returns
  Sigma <- cov(X)  # compute SCM
  # design GMVP
  w <- solve(Sigma, rep(1, nrow(Sigma)))
  w <- w/sum(abs(w))  # it may not satisfy w>=0
  return(w)
}