gmv: GMV Portfolio with Constraints
In kecoli/PCRM: Companion to Portfolio Construction and Risk Management
View source: R/mvo.constrained.r
gmv R Documentation
GMV Portfolio with Constraints
Description
GMV Portfolio with Constraints
Usage
gmv(returns, cset = NULL, wts.only = T, digits = NULL)
Arguments
cset,
if cset = NULL, then unconstrained gmv
wts.only,
for back-test use default wts.only = T, for efficient frontier use wts.only = F
Author(s)
Kirk Li kirkli@stat.washington.edu
kecoli/PCRM documentation built on May 7, 2022, 9:33 a.m.
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.
View source: R/mvo.constrained.r
| gmv | R Documentation |
GMV Portfolio with Constraints
Description
GMV Portfolio with Constraints
Usage
gmv(returns, cset = NULL, wts.only = T, digits = NULL)
Arguments
cset, |
if cset = NULL, then unconstrained gmv |
wts.only, |
for back-test use default wts.only = T, for efficient frontier use wts.only = F |
Author(s)
Kirk Li kirkli@stat.washington.edu
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.
Embedding an R snippet on your website
Add the following code to your website.
For more information on customizing the embed code, read Embedding Snippets.