FRAPO (version 0.3-7)

PGMV: Global Minimum Variance Portfolio

Description

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

Usage

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

Arguments

Returns

A rectangular array of return data.

percentage

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

...

Arguments are passed down to cov.

Value

• An object of formal class "PortSol".

concept

• GMV
• global minimum variance

See Also

"PortSol"

Examples

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