Man pages for sstoeckl/uncertaintymeasures
Functions to create uncertainty measures using turbulence
| dot-garthwaitecov | Garthwaite-Covariance matrix |
| dot-mpinv | Helper function for pseudoinverse |
| factors | Fama-French factors: value and operating profitability... |
| glPF | Calculate portfolio weights for Garlappi model 1.2.2-1.2.3 |
| ISminimax_one | Calculate (in-sample) the coefficient to adjust the optimal... |
| ISturbulence | Calculate In-sample turbulence |
| OSglPF | Calculate portfolio weights for Garlappi model 1.2.3 |
| OSminimax_one | Calculate (out-of-sample) the coefficient to adjust the... |
| OSturbulence | Calculate Out-of-sample turbulence |
| X | Fama-French 25 portfolios sorted according to size and value |
| Y | Fama-French 25 portfolios sorted according to size and... |
