var.relative.benchmark | R Documentation |
Returns a matrix (or 3-dimensional array) with dimensions one smaller than the input. The returned variance is relative to the benchmark.
var.relative.benchmark(variance, benchmark)
variance |
required. A variance matrix or a three-dimensional array where each slice of the third dimension is a variance matrix. |
benchmark |
required.
A character string naming which asset in |
a matrix or array similar to the input variance
, but with one
less asset and containing variances that are relative to that asset.
There is a call
attribute which gives the command that created
the object (and hence the benchmark to which the object is relative).
This help was last revised 2012 January 20.
var.add.benchmark
, var.shrink.eqcor
,
factor.model.stat
, threeDarr
.
var.orig <- array(c(400, 32, 24, 32, 64, 9.6, 24, 9.6, 144), c(3,3), list(c("equities", "bonds", "commodities"), c("equities", "bonds", "commodities"))) var.aa <- var.add.benchmark(var.orig, c(equities=.6, bonds=.4), "e60b40") var.rel <- var.relative.benchmark(var.aa, "e60b40")
Add the following code to your website.
For more information on customizing the embed code, read Embedding Snippets.