EquallyWeightedPortfolio: Equally weighted portfolio

In ConnectednessApproach: Connectedness Approach

Equally weighted portfolio

Description

This function calculates the equality weighted portfolio

Usage

EquallyWeightedPortfolio(
  x,
  method = c("cumsum", "cumprod"),
  statistics = c("Fisher", "Bartlett", "Fligner-Killeen", "Levene", "Brown-Forsythe"),
  metric = "StdDev",
  digit = 2
)

Arguments

x	zoo return matrix (in percentage)
method	Cumulative sum or cumulative product
statistics	Hedging effectiveness statistic
metric	Risk measure of Sharpe Ratio (StdDev, VaR, or CVaR)
digit	Number of decimal places

Value

Get portfolio weights

Author(s)

David Gabauer

References

Ederington, L. H. (1979). The hedging performance of the new futures markets. The Journal of Finance, 34(1), 157-170.

Antonakakis, N., Cunado, J., Filis, G., Gabauer, D., & de Gracia, F. P. (2020). Oil and asset classes implied volatilities: Investment strategies and hedging effectiveness. Energy Economics, 91, 104762.

Examples

data("g2020")
mcp = EquallyWeightedPortfolio(g2020/100, statistics="Fisher")
mcp$TABLE

ConnectednessApproach documentation built on June 22, 2024, 10:22 a.m.