View source: R/asset_universe.R
asset_universe | R Documentation |
Suggests a set of assets.
asset_universe(mean_rets, cov_matrix, n_assets_univ, lambda = 0.1)
mean_rets |
Named vector of mean returns. Can be implied returns. |
cov_matrix |
(Annualized) Covariance matrix. |
n_assets_univ |
Number of assets in the ivestable universe |
lambda |
Correlation penalty. |
Vector of asset names selected. The names are in order, meaning the i position in the output vector is the i-th asset selected.
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