wt_RiskBudget: Risk Budget Portfolio
In hyunyulhenry/HenryQuant: Favorite R Functions for Henry's Quantopia <http://henryquant.blogspot.kr/>
Description
Usage
Arguments
Examples
Description
This function solves for risk budge portfolio weights
Usage
1
wt_RiskBudget(covmat, target = NULL, optctrl = ctrl(), ...)
Arguments
covmat
Covariance matrix
target
Target of Risk Budget. The sum of budget should be 1
optctrl
Object of class Rcpp_CTRL.
...
Ellipsis argument is passed down to nlminb().
Examples
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## Not run:
ret = asset_data
R = ret[,c(1,5,9)]
covmat = cov(R)
target = c(0.4, 0.3, 0.3)
weight = RiskBudget(covmat, target)
## End(Not run)
hyunyulhenry/HenryQuant documentation built on Nov. 15, 2019, 2:28 a.m.
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Description Usage Arguments Examples
Description
This function solves for risk budge portfolio weights
Usage
1 | wt_RiskBudget(covmat, target = NULL, optctrl = ctrl(), ...)
|
Arguments
covmat |
Covariance matrix |
target |
Target of Risk Budget. The sum of budget should be 1 |
optctrl |
Object of class Rcpp_CTRL. |
... |
Ellipsis argument is passed down to nlminb(). |
Examples
1 2 3 4 5 6 7 8 | ## Not run:
ret = asset_data
R = ret[,c(1,5,9)]
covmat = cov(R)
target = c(0.4, 0.3, 0.3)
weight = RiskBudget(covmat, target)
## End(Not run)
|
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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