transcost: Compute transaction cost
In CondReg: Condition Number Regularized Covariance Estimation
Description
Usage
Arguments
Value
Description
Compute transaction cost
Usage
1
transcost(wnew, wold, lastearnings, reltc, wealth)
Arguments
wnew
new portfolio weights
wold
old portfolio weights
lastearnings
earnings from last period
reltc
relative transaction cost
wealth
current wealth
Value
transaction cost of rebalancing portfolio
CondReg documentation built on May 2, 2019, 4:52 a.m.
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Description Usage Arguments Value
Description
Compute transaction cost
Usage
1 | transcost(wnew, wold, lastearnings, reltc, wealth)
|
Arguments
wnew |
new portfolio weights |
wold |
old portfolio weights |
lastearnings |
earnings from last period |
reltc |
relative transaction cost |
wealth |
current wealth |
Value
transaction cost of rebalancing portfolio
R Package Documentation
Browse R Packages
We want your feedback!
Note that we can't provide technical support on individual packages. You should contact the package authors for that.
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