| mathGmvMuCov {PCRA} | R Documentation |
Global Minimum Variance Portfolios From Mu and Cov
Description
Compute the weights, mean return and volatility of a GMV portfolio based on user specified mean vector and covariance matrix
Usage
mathGmvMuCov(muRet, volRet, corrRet, digits = 3)
Arguments
muRet |
Mean vector |
volRet |
Volatility vector |
corrRet |
matrix of correlations |
digits |
Integer value number of decimal places, default 3 |
Value
a list contains weights, mean return and volatility of a GMV portfolio
Examples
args(mathGmvMuCov)
[Package PCRA version 1.2 Index]