betas: Compute the betas provided the returns and covariance matrx...

In yukai-yang/FE: Data Sets and Functions for the Course "Financial Econometrics"

Description

This function computes the betas by inputting the vector of returns and the covaraince matrix of some assets as well as a vector of weights of some portfolio.

Usage

betas(wt_p, mu, Omega)

Arguments

wt_p	a vector of weights of some portfolio.
mu	a vector of returns of some assets.
Omega	a positive definite covaraince matrix of the returns.

Value

a vector of betas.

Author(s)

Yukai Yang, [e-mail]

Examples

Omega = crossprod(matrix(rnorm(25),5,5))
mu = runif(5,min=.05,max=.15)
wt_p = rnorm(5)
wt_p = wt_p/sum(wt_p)

betas(wt_p, mu, Omega)

yukai-yang/FE documentation built on May 29, 2019, 12:19 p.m.