port_estim: Wrapper Function for Portfolio Optimization II

In antshi/auxPort: Auxiliary functions for portfolio optimization

Description

Allows the execution of specific optimization functions.

Usage

port_estim(Sigma, est_type = "Naive", ...)

Arguments

Sigma	a pxp matrix, the covariance matrix of asset returns
est_type	a function for portfolio optimization
...	additional arguments to be passed to the respective function, according to est_type.

Value

returns the weights, estimated according the est_type portfolio.

Examples

data(sp500_rets)
example_rets <- sp500_rets[,2:11]
covMat <- var(example_rets)
port_estim(covMat, "GMV")

muVec <- colMeans(example_rets)
port_estim(covMat, "Tang", muVec)

antshi/auxPort documentation built on Oct. 27, 2020, 1:16 p.m.