port_estim_wrapper: Wrapper Function for Portfolio Optimization I

In antshi/auxPort: Auxiliary functions for portfolio optimization

Description

Allows the execution of all included optimization functions.

Usage

port_estim_wrapper(Sigma, estim_func, ...)

Arguments

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

Value

returns the value of the executed function estim_func

Examples

data(sp500_rets)
example_rets <- sp500_rets[,2:11]
covMat <- var(example_rets)
port_estim_wrapper(covMat, port_estim_gmv)

muVec <- colMeans(example_rets)
port_estim_wrapper(covMat, port_estim_tang, muVec)

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