wGMV {DOSPortfolio} | R Documentation |
Sample estimator of the weights of the global minimum variance portfolio
Description
The functions computes the sample estimate of the weights of the global minimum variance portfolio (see, e.g., Eq. (1.4) of Bodnar et al. (2021))).
Usage
wGMV(data)
Arguments
data |
an n by p matrix of asset returns. Columns represent different assets rows are observations, where n>p, containing, for instance, log-returns. |
Value
a vector, which is the Global Minimum Variance Portfolio.
Examples
n <- 200
p <- 80
data <- 3/5 * matrix(rt(n*p, df=5), ncol=p, nrow=n)
weights <- wGMV(data)
# since the covariance matrix is the identity-matrix the estimated weights
# should be close to the equally weighted portfolio.
mean(abs(wGMV(data) - 1/p))
[Package DOSPortfolio version 0.1.0 Index]