custom.covRob.Rocke: Compute returns mean vector and covariance matrix with...

In braverock/PortfolioAnalytics: Portfolio Analysis, Including Numerical Methods for Optimization of Portfolios

Compute returns mean vector and covariance matrix with custom.covRob.Rocke

Description

custom.covRob.Rocke uses the RobStatTM package function covRobRocke to compute a robust mean vector and robust covariance matrix for a portfolio's asset returns

Usage

custom.covRob.Rocke(R, ...)

Arguments

R	xts object of asset returns
...	parameters for covRob.Rocke

Details

For parameter details, see covRobRocke in the RobStatTM Reference Manual at https://cran.r-project.org/web/packages/RobStatTM/index.html

Value

a list containing covariance matrix sigma and mean vector mu

Author(s)

Yifu Kang

braverock/PortfolioAnalytics documentation built on April 18, 2024, 4:09 a.m.