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2012 Sep 04
0
Calculate a minimum-variance portfolio with fPortfolio
...te0("minW[1:nAssets] = ", 0)
box.2 <- paste0("maxW[1:nAssets] = ", 0.10)
box.3 <- "maxsumW[1:nAssets] = 1"
box.4 <- "minsumW[1:nAssets] = 1"
boxConstraints <- c(box.1, box.2, box.3, box.4)
# Portfolio Specs
Spec <- portfolioSpec()
# Calculate MinVar Portfolio
minvar <- minvariancePortfolio(
data = data,
spec = Spec,
constraints = boxConstraints)
5. Thanks a lot for your help!
Markus Douglas, Jr.
--
View this message in context: http://r.789695.n4.nabble.com/Calculate-a-minimum-variance-portfolio-with-fPortfolio-tp464218...
2017 Oct 20
0
NMOF 1.2-2 (Numerical Methods and Optimization in Finance)
...ince then. That implies
a certain maturity, and so it was time to upgrade
the version to 1.0 (and beyond already).
Since my last announcement on this list [1], a number
of functions have been added to the package:
'SAopt' (Simulated Annealing), 'CPPIgap' (portfolio
insurance), 'minvar' (computation of minimum-variance
portfolios), and more. See the NEWS file [2] and the
ChangeLog [3] for all details.
Many of the new functions are described, with
examples, in the Manual [4].
Kind regards
Enrico
[1] https://stat.ethz.ch/pipermail/r-packages/2016/001510.html
[2] https...