Rdocumentation
powered by
Learn R Programming
PortfolioAnalytics (version 1.0.3636)
covarianceSF: Covariance Matrix Estimate
Description
Estimate covariance matrix using a single factor statistical factor model
Usage
covarianceSF(beta, stockM2, factorM2)
Arguments
beta
vector of length N or (N x 1) matrix of factor loadings (i.e. the betas) from a single factor statistical factor model
stockM2
vector of length N of the variance (2nd moment) of the model residuals (i.e. idiosyncratic variance of the stock)
factorM2
scalar value of the 2nd moment of the factor realizations from a single factor statistical factor model
Value
(N x N) covariance matrix
Details
This function estimates an (N x N) covariance matrix from a single factor statistical factor model with k=1 factors, where N is the number of assets.