cov_shrink_to_bayes_stein: Shrink the Variance-Covariance Matrix towards the Bayes-Stein...
In Reckziegel/PortfolioMoments: Functions to be used in conjuction with PortfolioAnalytics
Description
Usage
Arguments
Value
Author(s)
References
Examples
View source: R/cov_shrink_to_bayes_stein.R
Description
Implements the variance-covariance matrix as described in Jorrion (1986),
Usage
1
Arguments
R
A vector, matrix, data.frame, xts, timeSeries, zoo or a tibble object.
Value
A variance-covariance matrix.
Author(s)
Bernardo Reckziegel
References
Jorion, Philippe. Bayes-Stein Estimation For Portfolio Analysis. Journal of Financial and Quantitative Analysis 21.3 (1986): 279-292.
Examples
1
2
3
library(PortfolioAnalytics)
data(edhec)
cov_shrink_to_bayes_stein(edhec)
Reckziegel/PortfolioMoments documentation built on May 29, 2019, 1:21 p.m.
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Description Usage Arguments Value Author(s) References Examples
View source: R/cov_shrink_to_bayes_stein.R
Description
Implements the variance-covariance matrix as described in Jorrion (1986),
Usage
1 |
Arguments
R |
A vector, matrix, data.frame, xts, timeSeries, zoo or a tibble object. |
Value
A variance-covariance matrix.
Author(s)
Bernardo Reckziegel
References
Jorion, Philippe. Bayes-Stein Estimation For Portfolio Analysis. Journal of Financial and Quantitative Analysis 21.3 (1986): 279-292.
Examples
1 2 3 | library(PortfolioAnalytics)
data(edhec)
cov_shrink_to_bayes_stein(edhec)
|
R Package Documentation
Browse R Packages
We want your feedback!
Note that we can't provide technical support on individual packages. You should contact the package authors for that.
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