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Estimate Mean and Covariance for Returns

Evaluate mean and covariance for portfolio asset returns, including assets with missing data and financial time series data


PortfolioCreate Portfolio object for mean-variance portfolio optimization and analysis


getAssetMomentsObtain mean and covariance of asset returns from Portfolio object
setAssetMoments Set moments (mean and covariance) of asset returns for Portfolio object
estimateAssetMomentsEstimate mean and covariance of asset returns from data
setCostsSet up proportional transaction costs for portfolio


Portfolio Optimizations

Portfolio Theory