minVarRiskyLO

Given a time series of risky asset returns and a target 
mean return, this function computes the mean and standard deviation 
of a fully-invested long-only 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

minVarRiskyLO function

<dl><dt>returns</dt>
<dd>xts multivariate risky asset returns</dd>
<dt>mu</dt>
<dd>Portfolio mean return specification</dd></dl>

Arguments

Author

Title Minimum Variance Long-Only Risky Assets Portfolio — minVarRiskyLO

<dl>

<dt>returns</dt>
<dd>xts multivariate risky asset returns</dd>


<dt>mu</dt>
<dd>Portfolio mean return specification</dd>

</dl>

minVarRiskyLO: Title Minimum Variance Long-Only Risky Assets Portfolio

Description

Usage

Value

Arguments

Author

Details

Examples