PGMV {FRAPO} | R Documentation |
This function returns the solution of the global minimum variance portfolio (long-only).
PGMV(Returns, percentage = TRUE, optctrl = ctrl(), ...)
Returns |
A rectangular array of return data. |
percentage |
Logical, whether the weights shall be returned as decimals or percentages (default). |
optctrl |
Object of class |
... |
Arguments are passed down to |
An object of formal class "PortSol"
.
The optimisation is conducted by calling cccp()
.
Bernhard Pfaff
"PortSol"
data(MultiAsset)
Rets <- returnseries(MultiAsset, method = "discrete", trim = TRUE)
PGMV(Rets)