extractCovariance

Extract the covariance matrix estimate from a statistical factor model

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

extractCovariance function

<dl><dt>model</dt>
<dd>statistical factor model estimated via 
<code>statistical.factor.model</code></dd>
<dt>...</dt>
<dd>not currently used</dd></dl>

Arguments

Author

Covariance Estimate — extractCovariance

<dl>

<dt>model</dt>
<dd>statistical factor model estimated via 
<code>statistical.factor.model</code></dd>


<dt>...</dt>
<dd>not currently used</dd>

</dl>

Covariance Estimate

extractCovariance: Covariance Estimate

Description

Usage

Value

Arguments

Author

See Also