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extractCovariance

Covariance Estimate

Description

Extract the covariance matrix estimate from a statistical factor model

Usage

extractCovariance(model, ...)

Arguments

model

statistical factor model estimated via statistical.factor.model
...

not currently used

Value

covariance matrix estimate

Author(s)

Ross Bennett

See Also

PortfolioAnalytics

Portfolio Analysis, Including Numerical Methods for Optimization of Portfolios

v1.1.0
GPL-2 | GPL-3
Authors
Brian G. Peterson [cre, aut, cph], Peter Carl [aut, cph], Kris Boudt [ctb, cph], Ross Bennett [ctb, cph], Hezky Varon [ctb], Guy Yollin [ctb], R. Douglas Martin [ctb]
Initial release
2018-05-17

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