wt_minvol: Minimum Volatility Portfolio

In hyunyulhenry/HenryQuant: Favorite R Functions for Henry's Quantopia <http://henryquant.blogspot.kr/>

Description

This function solves for minimum volatility portfolio weights. The lower limit and upper limit can be set differently for each asset.

Usage

wt_minvol(covmat, lb = NULL, ub = NULL, cut_w = 0.001)

Arguments

covmat	Covariance matrix
lb	Lower weight boundary. Default is Null
ub	Upper weight boundary. Default is Null
cut_w	If the calculated weight is lower than the corresponding weight, the weight is made zero. The default value is 1bp.

Examples

## Not run: 
  ret = asset_data
  covmat = cov(ret)
  weight = wt_minvol(covmat, lb = rep(0, ncol(covmat)), ub = rep(1, ncol(covmat)))
  
## End(Not run)

hyunyulhenry/HenryQuant documentation built on Nov. 15, 2019, 2:28 a.m.