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? -- View this message in context: http://r.789695.n4.nabble.com/portfolio-optim-tp3840249p3840249.html Sent from the Rmetrics mailing list archive at Nabble.com.
portfolio.optim
2 messages · sixstringaddict, Enrico Schumann
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? -- View this message in context: http://r.789695.n4.nabble.com/portfolio-optim-tp3840249p3840249.html Sent from the Rmetrics mailing list archive at Nabble.com.
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Enrico Schumann Lucerne, Switzerland http://nmof.net/