var.relative.benchmark: Transform a Variance Matrix to be Relative to a Benchmark

In BurStFin: Burns Statistics Financial

Transform a Variance Matrix to be Relative to a Benchmark

Description

Returns a matrix (or 3-dimensional array) with dimensions one smaller than the input. The returned variance is relative to the benchmark.

Usage

var.relative.benchmark(variance, benchmark)

Arguments

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 variance is to be used as the benchmark.

Value

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).

Revision

This help was last revised 2012 January 20.

See Also

var.add.benchmark, var.shrink.eqcor, factor.model.stat, threeDarr.

Examples

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")

BurStFin documentation built on April 18, 2022, 5:07 p.m.