covar: Covariance matrix and volatilities.

In veldanie/SuraInvestmentAnalytics: Investment Analytics

Covariance matrix and volatilities.

Description

Takes the risk aversion coefficient, the covariance matrix and the market cap weights.

Usage

covar(series, per = 12, shrink = FALSE)

Arguments

series	data frame with return series.
per	returns period expressed as number of periods per year.
shrink	Shrink estimator. Lendoit and Wolf (2003).

Value

Covariance matrix and volatility of each variable.

veldanie/SuraInvestmentAnalytics documentation built on April 14, 2024, 10:29 p.m.