FinCovRegularization (version 1.1.0)

GMVP: Global Minimum Variance Portfolio

Description

Computing a global minimum variance portfolio weights from the estimated covariance matrix of return series.

Usage

GMVP(cov.mat, short = TRUE)

Arguments

cov.mat

an estimated p*p covariance matrix

short

logical flag, indicating whether shortsales on the risky assets are allowed

Value

a numerical vector containing the estimated portfolio weights

Examples

data(m.excess.c10sp9003)
assets <- m.excess.c10sp9003[,1:10]
GMVP(cov(assets), short=TRUE)
GMVP(cov(assets), short=FALSE)