Nothing
test_that("non overlapping estimator, weights matrix ", {
n <- 25
p <- 10
data <- 5/3 * matrix(rt(n*p, df=5), ncol=p, nrow=n)
target_portfolio <- rep(1,p)/p
reallocation_points <- c(12)
relative_loss <- 0
weights <- wGMVNonOverlapping(data,reallocation_points, target_portfolio, relative_loss)
expect_equal(nrow(weights), length(reallocation_points))
})
test_that("non overlapping estimator, weights matrix rows are portfolios", {
n <- 250
p <- 10
data <- 5/3 * matrix(rt(n*p, df=5), ncol=p, nrow=n)
target_portfolio <- rep(1,p)/p
reallocation_points <- c(12, 100, 150)
relative_loss <- 1.22
weights <- wGMVNonOverlapping(data,
reallocation_points,
target_portfolio,
relative_loss)
expect_equal(rowSums(weights), rep(1, length(reallocation_points)))
})
test_that("non overlapping estimator, perfect guess of target portfolio", {
n <- 25
p <- 10
data <- 5/3 * matrix(rt(n*p, df=5), ncol=p, nrow=n)
target_portfolio <- rep(1,p)/p
weights <- wGMVNonOverlapping(data,
reallocation_points=c(12),
target_portfolio=target_portfolio,
relative_loss=0)
expect_equal(as.vector(weights), target_portfolio)
})
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