constructGMVPortfolio: Constructs Global Minimum Variance (GMV) Portfolio.
In spushpak/UnequalReturnHist: Unequal Return History
Description
Usage
Arguments
Value
Author(s)
Description
This function Constructs Global Minimum Variance (GMV) Portfolio.
Usage
1
constructGMVPortfolio(ret_dat)
Arguments
ret_dat
xts object containing the returns data for multiple assets.
Value
The function returns the GMV portfolio weights.
w_gmv
A vector of weights of different assets in the Global
Minimum Variance portfolio.
Author(s)
Pushpak Sarkar
spushpak/UnequalReturnHist documentation built on May 24, 2019, 7:20 a.m.
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Description Usage Arguments Value Author(s)
Description
This function Constructs Global Minimum Variance (GMV) Portfolio.
Usage
1 | constructGMVPortfolio(ret_dat)
|
Arguments
ret_dat |
xts object containing the returns data for multiple assets. |
Value
The function returns the GMV portfolio weights.
w_gmv |
A vector of weights of different assets in the Global Minimum Variance portfolio. |
Author(s)
Pushpak Sarkar
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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