minVarCashRisky

Given a time series of asset returns and risk-free T-Bill
returns, a target mean return, and a specification of whether the asset
weights are constrained to be long-only, this function compputes the 
weights of a fully-invested minimum variance portfolio

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

minVarCashRisky function

<dl><dt>returns</dt>
<dd>xts multivariate returns object that contains
the returns of the risk-free T-Bill in the last column</dd>
<dt>mu0</dt>
<dd>Minimum variance portfolio mean return</dd>
<dt>LO</dt>
<dd>Logical variable with default FALSE</dd>
<dt>bnd</dt>
<dd>Bound on asset weights</dd>
<dt>bndRF</dt>
<dd>a bound on the risk-free T-Bill weight</dd></dl>

Arguments

Minimum Variance Portfolio — minVarCashRisky

<dl>

<dt>returns</dt>
<dd>xts multivariate returns object that contains
the returns of the risk-free T-Bill in the last column</dd>


<dt>mu0</dt>
<dd>Minimum variance portfolio mean return</dd>


<dt>LO</dt>
<dd>Logical variable with default FALSE</dd>


<dt>bnd</dt>
<dd>Bound on asset weights</dd>


<dt>bndRF</dt>
<dd>a bound on the risk-free T-Bill weight</dd>

</dl>

minVarCashRisky: Minimum Variance Portfolio

Description

Usage

Value

Arguments

Examples