Class_MeanVar_portfolio {HDShOP}

S3 class MeanVar_portfolio

Description

Class MeanVar_portfolio is designed to construct mean-variance portfolios with provided estimators of the mean vector, covariance matrix, and inverse covariance matrix. It includes the following elements:

Slots

Element	Description
call	the function call with which it was created
cov_mtrx	the sample covariance matrix of the asset returns
inv_cov_mtrx	the inverse of the sample covariance matrix
means	sample mean vector of the asset returns
weights	portfolio weights
Port_Var	portfolio variance
Port_mean_return	expected portfolio return
Sharpe	portfolio Sharpe ratio

See Also

summary.MeanVar_portfolio summary method for the class, new_MeanVar_portfolio class constructor, validate_MeanVar_portfolio class validator, MeanVar_portfolio class helper.