port_estim_gmv: Global Minimum-Variance Portfolio Optimization
In antshi/auxPort: Auxiliary functions for portfolio optimization
Description
Usage
Arguments
Value
Examples
Description
Calculates the weights of a global minimum-variance portfolio strategy.
Usage
1
port_estim_gmv(Sigma)
Arguments
Sigma
a pxp covariance matrix of asset returns.
Value
a vector of length p with the weights of the portfolio.
Examples
1
2
3
4
data(sp500_rets)
example_rets <- sp500_rets[,2:11]
covMat <- var(example_rets)
port_estim_gmv(covMat)
antshi/auxPort documentation built on Oct. 27, 2020, 1:16 p.m.
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Description Usage Arguments Value Examples
Description
Calculates the weights of a global minimum-variance portfolio strategy.
Usage
1 | port_estim_gmv(Sigma)
|
Arguments
Sigma |
a pxp covariance matrix of asset returns. |
Value
a vector of length p with the weights of the portfolio.
Examples
1 2 3 4 | data(sp500_rets)
example_rets <- sp500_rets[,2:11]
covMat <- var(example_rets)
port_estim_gmv(covMat)
|
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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