FRAPO (version 0.3-8)

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".

See Also

"PortSol"

Examples

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