MeanVar_portfolio {HDShOP} | R Documentation |
A helper function for MeanVar_portfolio
Description
A user-friendly function making mean-variance portfolios for assets with customly computed covariance matrix and mean returns. The weights are computed in accordance with the formula
where is an estimator for the covariance matrix,
is an estimator for the mean vector,
is
the coefficient of risk aversion, and
is given by
The computation is made by new_MeanVar_portfolio
and
the result is validated by validate_MeanVar_portfolio
.
Usage
MeanVar_portfolio(mean_vec, cov_mtrx, gamma)
Arguments
mean_vec |
mean vector of asset returns provided in the form of a vector or a list. |
cov_mtrx |
the covariance matrix of asset returns. It could be a matrix or a data frame. |
gamma |
a numeric variable. Coefficient of risk aversion. |
Value
Mean-variance portfolio in the form of object of S3 class MeanVar_portfolio.
Examples
n<-3e2 # number of realizations
p<-.5*n # number of assets
gamma<-1
x <- matrix(data = rnorm(n*p), nrow = p, ncol = n)
# Simple MV portfolio
cov_mtrx <- Sigma_sample_estimator(x)
means <- rowMeans(x)
cust_port_simp <- MeanVar_portfolio(mean_vec=means,
cov_mtrx=cov_mtrx, gamma=2)
str(cust_port_simp)
[Package HDShOP version 0.1.5 Index]