mathGmv {PCRA}

Global Minimum Variance Portfolio (GMV)

Description

Computes the weights of a GMV portfolio, and its mean return and volatility based on portfolio asset returns

Usage

mathGmv(returns, digits = NULL)

Arguments

returns

Matrix or xts object of returns

digits

Integer value of number of significant digits, default NULL

Value

List of GMV portfolio weights, mean return and volatility

Examples

args(mathGmv)