The RATS Software Forum

The version of this just posted now computes the covariance matrices as the SERIES[SYMMETRIC] called HH. Thanks. Is it possible to display this in the matrix form HH = hh11............hh1,8 ................... ................... hh1,8...........hh8,8 The print and display commands don't seem to work

Hi,

Is it possible to form the minimum variance and global minimum variance portfolios as done in the DECO paper (http://papers.ssrn.com/sol3/papers.cfm? ... id=1354525) using matrix algebra in RATS?

Thanks!