calc_target_vol: Solve weights for a target volatility
In alejandro-sotolongo/CriticalLineAlgo: Portfolio Optimization using the Critical Line Algorithm
calc_target_vol R Documentation
Solve weights for a target volatility
Description
Solve weights for a target volatility
Usage
calc_target_vol(store, cov_mat, target_vol, tol = 1e-04, max_iter = 10000)
Arguments
store
output of run_cla
cov_mat
covariance matrix
target_vol
volatiltiy level to solve for
tol
tolerance for volatility solution difference from target_vol
max_iter
maximum iterations for attempted solution
Value
weights of target vol portfolio or NA if target vol weights cannot be
solved (plus a warning)
alejandro-sotolongo/CriticalLineAlgo documentation built on June 1, 2024, 1:18 p.m.
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| calc_target_vol | R Documentation |
Solve weights for a target volatility
Description
Solve weights for a target volatility
Usage
calc_target_vol(store, cov_mat, target_vol, tol = 1e-04, max_iter = 10000)
Arguments
store |
output of |
cov_mat |
covariance matrix |
target_vol |
volatiltiy level to solve for |
tol |
tolerance for volatility solution difference from |
max_iter |
maximum iterations for attempted solution |
Value
weights of target vol portfolio or NA if target vol weights cannot be solved (plus a warning)
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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