RiskPortfolios
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ArdiaD
Functions for the construction of risk-based portfolios
A covariance matrix is the weighted sum of outer products of return vectors. In your routine .ewmaCov
I wonder whether you could expose the entire time series of covariance matrices in the function `.ewmaCov
When I try to run a risk efficient portfolio I get the following error: Error in `[
I had a question about using optimalPortfolio in the package RiskPortfolios in R. Is it possible to use multiple constraints, specifically the 'gross' constraint with the UB and LB? For...
Hi David In the control argument, it would be good to add an argument “inverse” which in case of true reports also the inverse of the covariance matrix. In many...
Why is the gamma risk aversion parameter default value 0.89 ? Should it be set at 1 by default ?
Do you have a function to build the efficient frontier based on the risk portfolios and associated constraints ? As an example with these two strategies: # Mean-variance portfolio without...
