Integer, the threshold value for the order statistic. If left
NULL, then k = sqrt(nrow(x)) is used.
percentage
Logical, whether the weights shall be returned as
decimals or percentages (default).
optctrl
Object of class Rcpp_CTRL.
...
Arguments are passed down to rank.
Value
An object of formal class "PortSol".
Details
Akin to the optimisation of a global minimum-variance portfolio, the
minimum tail dependennt portfolio is determined by replacing the
variance-covariance matrix with the matrix of the lower tail
dependence coefficients as returned by tdc.