pOpt <-
function(mu,vol,beta,indexVol,C)
{
#Special variances
delta <- vol^2-indexVol^2*beta^2
#Inverse of the covariance matrix
SigmaI <- invertSpecial(indexVol^2,beta,delta)
Mu <- cbind(1,mu)
w <- SigmaI%*%Mu%*%solve(t(Mu)%*%SigmaI%*%Mu)%*%c(1,C)
vol <- sqrt((indexVol*sum(w*beta))^2+sum(w^2*delta))
return(list(w=w,vol=vol))
}
Add the following code to your website.
For more information on customizing the embed code, read Embedding Snippets.