MinimumConnectednessPortfolio: Minimum connectedness portfolio

In ConnectednessApproach: Connectedness Approach

Minimum connectedness portfolio

Description

This function calculates the minimum connectedness portfolio

Usage

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

Arguments

x	zoo return matrix (in percentage)
H	Pairwise connectedness matrix or alternatively variance-covariance or correlation matrix
method	Cumulative sum or cumulative product
statistics	Hedging effectiveness statistic
long	Allow only long portfolio position
metric	Risk measure of Sharpe Ratio (StdDev, VaR, or CVaR)
digit	Number of decimal places

Value

Get portfolio weights

Author(s)

David Gabauer

References

Broadstock, D. C., Chatziantoniou, I., & Gabauer, D. (2022). Minimum connectedness portfolios and the market for green bonds: Advocating socially responsible investment (SRI) activity. In Applications in Energy Finance (pp. 217-253). Palgrave Macmillan, Cham.

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")
fit = VAR(g2020, configuration=list(nlag=1))
dca = TimeConnectedness(Phi=fit$B, Sigma=fit$Q, nfore=10, generalized=TRUE)
mcp = MinimumConnectednessPortfolio(g2020/100, dca$PCI, statistics="Fisher")
mcp$TABLE

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