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portfolio
2013 Jan 06
0
fPortfolio-portfolio optimization
...ction(x)
{
stopifnot(inherits(x, "timeSeries"))
x.mat = x
mu = mu.pred
Sigma = .cov.shrink(x = x.mat, verbose = FALSE, ...)
attr(Sigma, "lambda.var") <- NULL
attr(Sigma, "lambda.var.estimated") <- NULL
list(mu = mu, Sigma = Sigma)
}
portfolio1=portfolioSpec()
a=ts(ret.mat[(1:60),(1:n.assets)])
setEstimator(portfolio1)="myEstimator"
portfolio2=tangencyPortfolio(data=a, spec=portfolio1)
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