extractCovariance {PortfolioAnalytics}R Documentation

Covariance Estimate

Description

Extract the covariance matrix estimate from a statistical factor model

Usage

extractCovariance(model, ...)

Arguments

model

statistical factor model estimated via statistical.factor.model

...

not currently used

Value

covariance matrix estimate

Author(s)

Ross Bennett

See Also

statistical.factor.model


[Package PortfolioAnalytics version 1.1.0 Index]