FRAPO (version 0.4-1)

PGMV: Global Minimum Variance Portfolio

Description

This function returns the solution of the global minimum variance portfolio (long-only).

Usage

PGMV(Returns, percentage = TRUE, optctrl = ctrl(), ...)

Arguments

Returns

A rectangular array of return data.

percentage

Logical, whether the weights shall be returned as decimals or percentages (default).

optctrl

Object of class Rcpp_CTRL.

...

Arguments are passed down to cov.

Value

An object of formal class "PortSol".

See Also

"PortSol"

Examples

data(MultiAsset)
Rets <- returnseries(MultiAsset, method = "discrete", trim = TRUE)
PGMV(Rets)