mathGmv: Global Minimum Variance (GMV) Portfolio
In kecoli/mpo: Companion to Modern Portfolio Optimization with R, 2nd Edition

Compute the weights, mean return and volatility of a GMV portfolio.

1	mathGmv(returns, digits = NULL)

`returns`	matrix of asset returns
`digits`	integer indicating the number of decimal places

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data(midcap.ts)
returns = midcap.ts[, 1:10]
mathGmv(returns)

kecoli/mpo documentation built on May 20, 2019, 8:34 a.m.

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