mathGmv

Computes the weights of a GMV portfolio, and its mean return
and volatility based on portfolio asset returns

A collection of functions and data sets that support teaching
a quantitative finance MS level course on Portfolio Construction and Risk
Analysis, and the writing of a textbook for such a course.  The package is
unique in providing several real-world data sets that may be used for problem
assignments and student projects.  The data sets include cross-sections of
stock data from the Center for Research on Security Prices, LLC (CRSP),
corresponding factor exposures data from S&P Global, and several SP500 data
sets.

Doug Martin

PCRA

Companion to Portfolio Construction and Risk Analysis

Alexios Galanos

Kirk Li

Jon Spinney

Thomas Philips

mathGmv function

<dl><dt>returns</dt>
<dd>Matrix or xts object of returns</dd>
<dt>digits</dt>
<dd>Integer value of number of significant digits, default NULL</dd></dl>

Arguments

Global Minimum Variance Portfolio (GMV) — mathGmv

<dl>

<dt>returns</dt>
<dd>Matrix or xts object of returns</dd>


<dt>digits</dt>
<dd>Integer value of number of significant digits, default NULL</dd>

</dl>

mathGmv: Global Minimum Variance Portfolio (GMV)

Description

Usage

Value

Arguments

Examples