search for: vcovmat

...eric(30/horizon)for (x in 1: (30/horizon)){ TbillReturn[x]<-prod(data[(12*horizon*(x-1)+1):(12*horizon*(x-1)+12*horizon),col])-1 USReturn[x]<-prod(data[(12*horizon*(x-1)+1):(12*horizon*(x-1)+12*horizon),2])-1}Return<-cbind(TbillReturn,USReturn)MeanVec<-c(mean(TbillReturn),mean(USReturn))VCovMat<-cov(Return)#return(MeanVec, VCovMat) a<-c(1,1)a<-cbind(a, diag(1,2)) WtVec<-solve.QP(Dmat=VCovMat*2, dvec= MeanVec*lamda,Amat=a,bvec=c(1,0,0),meq=1) #return(MeanVec, VCovMat, WtVec$solution)return(WtVec$solution)} #Opt(OriData+1, 1, 5, 0) ##############################set.seed(4114)bs=...