inverse.volatility.weight: Create an inverse volatility weighted portfolio
In braverock/PortfolioAnalytics: Portfolio Analysis, Including Numerical Methods for Optimization of Portfolios
View source: R/inverse.volatility.weight.R
inverse.volatility.weight R Documentation
Create an inverse volatility weighted portfolio
Description
This function calculates objective measures for an equal weight portfolio.
Usage
inverse.volatility.weight(R, portfolio, ...)
Arguments
R
an xts, vector, matrix, data frame, timeSeries or zoo object of asset returns
portfolio
an object of type "portfolio" specifying the constraints and objectives for the optimization
...
any other passthru parameters to constrained_objective
Details
This function is simply a wrapper around constrained_objective
to calculate the objective measures in the given portfolio object of
an inverse volatility weight portfolio. The portfolio object should include all objectives
to be calculated.
Value
a list containing the returns, weights, objective measures, call, and portfolio object
Author(s)
Peter Carl
braverock/PortfolioAnalytics documentation built on April 18, 2024, 4:09 a.m.
R Package Documentation
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View source: R/inverse.volatility.weight.R
| inverse.volatility.weight | R Documentation |
Create an inverse volatility weighted portfolio
Description
This function calculates objective measures for an equal weight portfolio.
Usage
inverse.volatility.weight(R, portfolio, ...)
Arguments
R |
an xts, vector, matrix, data frame, timeSeries or zoo object of asset returns |
portfolio |
an object of type "portfolio" specifying the constraints and objectives for the optimization |
... |
any other passthru parameters to |
Details
This function is simply a wrapper around constrained_objective
to calculate the objective measures in the given portfolio object of
an inverse volatility weight portfolio. The portfolio object should include all objectives
to be calculated.
Value
a list containing the returns, weights, objective measures, call, and portfolio object
Author(s)
Peter Carl
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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