Message-ID: <4E7ED4DA.4030808@yahoo.de>
Date: 2011-09-25T07:14:34Z
From: Enrico Schumann
Subject: portfolio.optim
In-Reply-To: <1316897244044-3840249.post@n4.nabble.com>
Hi <anonymous>,
just build a covariance matrix with your correlation and pass it to
'portfolio.optim'. For instance, for 4 assets:
## marginal vols
vols <- c(0.2, 0.3, 0.4, 0.5)
## correlation matrix
C <- array(0.42, dim = c(length(vols), length(vols))); diag(C) <- 1
## covariance matrix
Sigma <- diag(vols) %*% C %*% diag(vols)
## ...or more efficiently
Sigma <- outer(vols, vols) * C
Regards,
Enrico
Am 24.09.2011 22:47, schrieb sixstringaddict:
> I am using the portfolio.optim function to find the portfolio weights and
> risk using three covariance estimates.
>
> I'm using the following function:
> portfolio.optim(rr,target,covmat=cov(rr),riskless=T,rf=.001,shorts=T)
>
> Now I need to find the weight and risk but this time I need to use a
> specific correlation coefficient, which is in this case 0.4210423. Is there
> a way of doing this?
>
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--
Enrico Schumann
Lucerne, Switzerland
http://nmof.net/