custom.covRob.MM

custom.covRob.MM uses the RobStatTM package function covRobMM to compute a robust
mean vector and robust covariance matrix for a portfolio's asset returns

Portfolio optimization and analysis routines and graphics.

Brian G Peterson

PortfolioAnalytics

Portfolio Analysis, Including Numerical Methods for Optimization
of Portfolios

Peter Carl

Ross Bennett

Kris Boudt

Xinran Zhao

R. Douglas Martin

Guy Yollin

Hezky Varon

Xiaokang Feng

Yifu Kang

custom.covRob.MM function

<dl><dt>R</dt>
<dd>xts object of asset returns</dd>
<dt>...</dt>
<dd>parameters for covRob.MM</dd></dl>

Arguments

Author

Compute returns mean vector and covariance matrix with custom.covRob.MM — custom.covRob.MM

<dl>

<dt>R</dt>
<dd>xts object of asset returns</dd>


<dt>...</dt>
<dd>parameters for covRob.MM</dd>

</dl>

Compute returns mean vector and covariance matrix with custom.covRob.MM

custom.covRob.MM: Compute returns mean vector and covariance matrix with custom.covRob.MM

Description

Usage

Value

Arguments

Author

References