semCov: Approximated Semicovariance Matrix

In And909/semicov: What the Package Does (One Line, Title Case)

Description

This function computes an approximated semicovariance matrix as in Estrada (2008).

Usage

semCov(mydata,bench)

Arguments

mydata	Matrix of returns. Each row is a period and each column is an asset.
bench	Benchmark for semivariance. Defaults to 0.

Details

See Rigamonti (2020) for more details.

Value

A matrix that approximates the semicovariance matrix.

References

Estrada, J. (2008). Mean-semivariance optimization: A heuristic approach. Journal of Applied Finance, 18(1):57-72 Rigamonti, A. (2020). Numerical solution for the minimum semivariance portfolio optimization problem in R: the semicov package

Examples

{
  }

And909/semicov documentation built on March 22, 2020, 12:58 a.m.