Create an inverse volatility weighted portfolio
This function calculates objective measures for an equal weight portfolio.
inverse.volatility.weight(R, portfolio, ...)
R |
an xts, vector, matrix, data frame, timeSeries or zoo object of asset returns |
portfolio |
an object of type "portfolio" specifying the constraints and objectives for the optimization |
... |
any other passthru parameters to |
This function is simply a wrapper around constrained_objective
to calculate the objective measures in the given portfolio object of
an inverse volatility weight portfolio. The portfolio object should include all objectives
to be calculated.
a list containing the returns, weights, objective measures, call, and portfolio object
Peter Carl
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