most_diversified_portfolio: Most diversified portfolio of Choueifaty and Coignard (2008)
In samthorold/riskparity: Asset allocation for risk parity
View source: R/most_diversified_portfolio.R
most_diversified_portfolio R Documentation
Most diversified portfolio of Choueifaty and Coignard (2008)
Description
Most diversified portfolio of Choueifaty and Coignard (2008)
Usage
most_diversified_portfolio(s, C)
Arguments
s
matrix of asset standard deviations
C
matrix of asset correlations
Value
matrix of asset weights
Examples
s <- matrix(c(.15, .3))
C <- matrix(c(1, .5, .5, 1), nrow = 2)
most_diversified_portfolio(s, C)
samthorold/riskparity documentation built on March 20, 2022, 4:03 p.m.
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View source: R/most_diversified_portfolio.R
| most_diversified_portfolio | R Documentation |
Most diversified portfolio of Choueifaty and Coignard (2008)
Description
Most diversified portfolio of Choueifaty and Coignard (2008)
Usage
most_diversified_portfolio(s, C)
Arguments
s |
matrix of asset standard deviations |
C |
matrix of asset correlations |
Value
matrix of asset weights
Examples
s <- matrix(c(.15, .3)) C <- matrix(c(1, .5, .5, 1), nrow = 2) most_diversified_portfolio(s, C)
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.
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