Description Usage Arguments Value Author(s) References
This function generates the first eigen vector
1 | GenFirstEigVect(S, A)
|
S |
Covariance Matrix |
A |
Conditioning Matrix |
e First Eigen Vector
Manan Shah mkshah@cmu.edu
A. Meucci - "Managing Diversification", Risk Magazine, June 2009 http://ssrn.com/abstract=1358533
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