inverse.volatility.weight: Create an inverse volatility weighted portfolio

In R-Finance/PortfolioAnalytics: Portfolio Analysis, including Numerical Methods for Optimization of Portfolios

Description

This function calculates objective measures for an equal weight portfolio.

Usage

  inverse.volatility.weight(R, portfolio, ...)

Arguments

R	an xts, vector, matrix, data frame, timeSeries or zoo object of asset returns
portfolio	an object of type "portfolio" specifying the constraints and objectives for the optimization
...	any other passthru parameters to constrained_objective

Details

This function is simply a wrapper around constrained_objective to calculate the objective measures in the given portfolio object of an inverse volatility weight portfolio. The portfolio object should include all objectives to be calculated.

Value

a list containing the returns, weights, objective measures, call, and portfolio object

Author(s)

Peter Carl

R-Finance/PortfolioAnalytics documentation built on May 8, 2019, 4:46 a.m.