port_estim_tang: Tangency Portfolio Optimization

In antshi/auxPort: Auxiliary functions for portfolio optimization

Description

Calculates the weights of a tangency portfolio strategy.

Usage

port_estim_tang(Sigma, mu, rf = 0)

Arguments

Sigma	a pxp matrix, the covariance matrix of asset returns.
mu	a vector, the expected returns.
rf	a double, the assumed risk-free return. Default value is 0.

Value

a vector of length p with the weights of the portfolio.

Examples

data(sp500_rets)
example_rets <- sp500_rets[,2:11]
covMat <- var(example_rets)
muVec <- colMeans(example_rets)
port_estim_tang(covMat, muVec)

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