calc_lambda: Calculate lambda
In alejandro-sotolongo/CriticalLineAlgo: Portfolio Optimization using the Critical Line Algorithm
calc_lambda R Documentation
Calculate lambda
Description
Calculate lambda
Usage
calc_lambda(cov_f_inv, cov_fb, mu_f, wgt_b, i, b_i)
Arguments
cov_f_inv
inverse of covaraince of free weights
cov_fb
covariance subset of free weight row and bound weight column
mu_f
expected returns of free weights
wgt_b
weights of bound assets
i
position in lambda_i
b_i
upper or lowerbound weight depending on intermediate calc
alejandro-sotolongo/CriticalLineAlgo documentation built on June 1, 2024, 1:18 p.m.
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| calc_lambda | R Documentation |
Calculate lambda
Description
Calculate lambda
Usage
calc_lambda(cov_f_inv, cov_fb, mu_f, wgt_b, i, b_i)
Arguments
cov_f_inv |
inverse of covaraince of free weights |
cov_fb |
covariance subset of free weight row and bound weight column |
mu_f |
expected returns of free weights |
wgt_b |
weights of bound assets |
i |
position in lambda_i |
b_i |
upper or lowerbound weight depending on intermediate calc |
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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