mathGmv: Global Minimum Variance (GMV) Portfolio
In kecoli/PCRM: Companion to Portfolio Construction and Risk Management
mathGmv R Documentation
Global Minimum Variance (GMV) Portfolio
Description
Compute the weights, mean return and volatility of a GMV portfolio.
Usage
mathGmv(returns, digits = NULL)
Arguments
returns
matrix of asset returns
digits
integer indicating the number of decimal places
Examples
data(midcap.ts)
returns = midcap.ts[, 1:10]
mathGmv(returns)
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.
| mathGmv | R Documentation |
Global Minimum Variance (GMV) Portfolio
Description
Compute the weights, mean return and volatility of a GMV portfolio.
Usage
mathGmv(returns, digits = NULL)
Arguments
returns |
matrix of asset returns |
digits |
integer indicating the number of decimal places |
Examples
data(midcap.ts) returns = midcap.ts[, 1:10] mathGmv(returns)
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.