Matrix, the variance-covariance matrix of asset returns
par
Vector, the initial values of the weights.
percentage
Logical, whether the weights shall be returned as
decimals or percentages (default).
optctrl
Object of class Rcpp_CTRL.
...
Ellipsis argument is passed down to nlminb().
Value
An object of formal class "PortSol".
Details
The objective function is the standard deviation of the marginal risk
contributions, which is minimal, i.e. zero, if all
contributions are equal. The weights are rescaled to sum to unity.
References
Maillard, S. and Roncalli, T. and Teiletche, J.: The Properties
of Equally Weighted Risk Contribution Portfolios, Journal of
Portfolio Management, Vol. 36, No. 4, Summer 2010, 60--70.