mathGmv function

Global Minimum Variance Portfolio (GMV)

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

mathGmv(returns, digits = NULL)

Arguments

• returns: Matrix or xts object of returns
• digits: Integer value of number of significant digits, default NULL

Returns

List of GMV portfolio weights, mean return and volatility

Examples

args(mathGmv)