GMVP: Global Minimum Variance Portfolio

In yanyachen/FinCovRegularization: Covariance Matrix Estimation and Regularization for Finance

Description

Computing a global minimum variance portfolio weights from the estimated covariance matrix of return series.

Usage

GMVP(cov.mat, short = TRUE)

Arguments

cov.mat	an estimated p*p covariance matrix
short	logical flag, indicating whether shortsales on the risky assets are allowed

Value

a numerical vector containing the estimated portfolio weights

Examples

data(m.excess.c10sp9003)
assets <- m.excess.c10sp9003[,1:10]
GMVP(cov(assets), short=TRUE)
GMVP(cov(assets), short=FALSE)

yanyachen/FinCovRegularization documentation built on May 4, 2019, 2:30 p.m.