MarkowitzR:Markowitz投资组合的统计数据

上传者: 42102401 | 上传时间: 2022-05-05 16:07:10 | 文件大小: 198KB | 文件类型: ZIP
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马科维茨 许多用于处理Markowitz产品组合的实用程序。 -史蒂文·帕夫(Steven , 安装 可以从CRAN安装此软件包。 最新版本可以通过devtools在上找到: if (require( devtools )) { # latest greatest install_github( repo = " MarkowitzR " , username = " shabbychef " , ref = " master " ) } 基本用法 对Markowitz投资组合的推断 (负)Markowitz投资组合出现在“增量”收益向量的无中心第二矩矩阵的逆中。 通过中心极限定理和德尔塔方法,可以找到马尔科维茨证券投资组合的渐近分布。 由此,可以计算出各个投资组合权重的Wald统计量。 伪数据 首先是无条件退货: set.seed( 1001

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