min_variance: Returns minimum variance portfolio weights on a given date

In rubetron/AssetAllocation: Backtesting Simple Asset Allocation Strategies

Returns minimum variance portfolio weights on a given date

Description

min_variance determines asset allocations that minimize the variance of aportfolio.

Usage

min_variance(strat, reb_date, P, R, risk_free = NULL)

Arguments

strat	A list representing an asset allocation strategy.
reb_date	A date on which the allocation rule is applied.
P	An xts object with daily prices of the tickers in strat.
R	An xts object with daily returns of the tickers in strat.
risk_free	Either an xts object with daily returns of the risk-free asset, or a scalar numeric with the annual risk-free rate in decimals.

Details

The function calculates the covariance matrix of returns using the last two years (or minimum of one year) of daily returns. It relies on the minvar function from the NMOF package.

Value

A numeric vector of weights after applying the rule.

Examples

ivy  <- asset_allocations$tactical$ivy
reb_date <- as.Date("2022-03-31")
risk_parity(ivy, reb_date, ETFs$Prices[, ivy$tickers], ETFs$Returns[, ivy$tickers])

rubetron/AssetAllocation documentation built on Dec. 2, 2023, 12:57 a.m.