
PERC(Sigma, par = NULL, percentage = TRUE, optctrl = ctrl(), ...)
Rcpp_CTRL
.nlminb()
."PortSol"
.
"PortSol"
data(MultiAsset)
Rets <- returnseries(MultiAsset, method = "discrete", trim = TRUE,
percentage = TRUE)
V <- cov(Rets)
ERC <- PERC(V)
ERC
w <- Weights(ERC)
w * V
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