covmat: Get covariance matrix for asset returns from the correlation...
In donboyd5/portopt: Basic Portfolio Optimization Tools
Description
Usage
Arguments
Value
Examples
Description
Get covariance matrix for asset returns from the correlation matrix and standard deviations.
Usage
1
covmat(cormat, sdvec)
Arguments
cormat
A correlation matrix for asset class returns.
sdvec
A vector of standard deviations.
Value
The covariance matrix.
Examples
1
2
3
covmat(stalebrink$cormat, stalebrink$ersd$sd)
covmat(rvk$cormat, rvk$ersd$sd)
covmat(horizon10year2017$cormat, horizon10year2017$ersd$sd)
donboyd5/portopt documentation built on May 20, 2019, 2:58 p.m.
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Description Usage Arguments Value Examples
Description
Get covariance matrix for asset returns from the correlation matrix and standard deviations.
Usage
1 | covmat(cormat, sdvec)
|
Arguments
cormat |
A correlation matrix for asset class returns. |
sdvec |
A vector of standard deviations. |
Value
The covariance matrix.
Examples
1 2 3 | covmat(stalebrink$cormat, stalebrink$ersd$sd)
covmat(rvk$cormat, rvk$ersd$sd)
covmat(horizon10year2017$cormat, horizon10year2017$ersd$sd)
|
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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