I am a master degree student on applied economics at Brazil and my thesis will be about smart beta strategies. I pretend to apply Equal Weigth, Mininum Variance, Most Diversified Portfolio and Equal Risk Contribution strategies on IBOV, the cap weighted index of Brazilian Financial Market.
I've tried to found some codes on matlab or R of these strategies but I didn't have success. So I would like to awnser where can I find something that would help me to estimate the weights of the stocks ? It's hard for me doing all the code, because of that I'm asking for help.
Another thing is about the covariance matrix. I want to test the results with the sample covariance matrix, risk metrics, shrinkage and maybe DCC GARCH. How about that? It's really necessary to use more than two methods?
Hope you help me!