Transform a Variance Matrix to be Relative to a Benchmark

Share:

Description

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

Usage

1
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

1
2
3
4
5
6
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")