RiskParity: Risk Parity Portfolio
In yanyachen/FinCovRegularization: Covariance Matrix Estimation and Regularization for Finance
Description
Usage
Arguments
Value
Examples
Description
Computing a Risk Parity portfolio weights from the estimated
covariance matrix of return series.
Usage
1
RiskParity(cov.mat)
Arguments
cov.mat
an estimated p*p covariance matrix
Value
a numerical vector containing the estimated portfolio weights
Examples
1
2
3
data(m.excess.c10sp9003)
assets <- m.excess.c10sp9003[,1:10]
RiskParity(cov(assets))
yanyachen/FinCovRegularization documentation built on May 4, 2019, 2:30 p.m.
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Description Usage Arguments Value Examples
Description
Computing a Risk Parity portfolio weights from the estimated covariance matrix of return series.
Usage
1 | RiskParity(cov.mat)
|
Arguments
cov.mat |
an estimated p*p covariance matrix |
Value
a numerical vector containing the estimated portfolio weights
Examples
1 2 3 | data(m.excess.c10sp9003)
assets <- m.excess.c10sp9003[,1:10]
RiskParity(cov(assets))
|
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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