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
|
... |
not currently used |
Value
covariance matrix estimate
Author(s)
Ross Bennett
See Also
[Package PortfolioAnalytics version 2.0.0 Index]