mathGmvMuCov function

Global Minimum Variance Portfolios From Mu and Cov

Compute the weights, mean return and volatility of a GMV portfolio based on user specified mean vector and covariance matrix

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

Returns

a list contains weights, mean return and volatility of a GMV portfolio

Examples

args(mathGmvMuCov)