Description Usage Arguments Details Value Author(s) See Also Examples
Compute the vectors of means (μ_i) and standard deviations
(sigma_i), for all the turning points of a CLA
result.
1 | MS(weights_set, mu, covar)
|
weights_set |
numeric matrix (n * m) of optimal
asset weights W = (w_1, w_2, …, w_m), as
resulting from |
mu |
expected (log) returns (identical to argument of
|
covar |
covariance matrix of (log) returns (identical to
argument of |
These are trivially computable from the CLA()
's result.
To correctly interpolate this, “hyperbolic”
interpolation is needed, provided by the findSig
and
findMu
functions.
a list
with components
Sig |
numeric vector of length m of standard deviations, σ(W). |
Mu |
numeric vector of length m of means μ(W). |
Yanhao Shi
CLA
.
1 2 3 4 5 | ## The function is quite simply
MS
## and really an auxiliary function for CLA().
## TODO: add small (~12 assets) example
|
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