min_variance {AssetAllocation} | R Documentation |
Returns minimum variance portfolio weights on a given date
Description
min_variance
determines asset allocations that minimize the variance
of aportfolio.
Usage
min_variance(strat, reb_date, P, R, risk_free = NULL)
Arguments
strat |
A list representing an asset allocation strategy. |
reb_date |
A date on which the allocation rule is applied. |
P |
An xts object with daily prices of the tickers in strat. |
R |
An xts object with daily returns of the tickers in strat. |
risk_free |
Either an xts object with daily returns of the risk-free asset, or a scalar numeric with the annual risk-free rate in decimals. |
Details
The function calculates the covariance matrix of returns using the last two
years (or minimum of one year) of daily returns. It relies on the
minvar
function from the NMOF
package.
Value
A numeric vector of weights after applying the rule.
Examples
ivy <- asset_allocations$tactical$ivy
reb_date <- as.Date("2022-03-31")
risk_parity(ivy, reb_date, ETFs$Prices[, ivy$tickers], ETFs$Returns[, ivy$tickers])
[Package AssetAllocation version 1.1.1 Index]