f_RSRL: Function computing the RSRL or the RSRL

In DiversificationR: Econometric Tools to Measure Portfolio Diversification

Description

This function computes the relative Sharpe ratio loss (RSRL) or its modified version (mRSRL) from two vectors of financial returns (a given portfolio and its benchmark). RSRL and mRSRL are both (under)diversification measures. Compared to RSRL, mRSRL is robust to the non-normality of returns.

Usage

f_RSRL(v_input_data_portfolio, v_input_data_benchmark, b_input_RSRL_modified, input_prob)

Arguments

v_input_data_portfolio	A vector of returns
v_input_data_benchmark	A vector of returns
b_input_RSRL_modified	A boolean value
input_prob	A numerical value

Value

result

A numeric value

Author(s)

Jean-Baptiste Hasse

References

Calvet, Laurent E., John Y. Campbell, and Paolo Sodini. "Down or out: Assessing the welfare costs of household investment mistakes." Journal of Political Economy 115.5 (2007): 707-747.

Candelon, Bertrand, Franz Fuerst, and Jean-Baptiste Hasse. "Diversification Potential in Real Estate Portfolios." (2020) Cambridge Working Paper.

Examples

# NOT RUN {

  # Load data
  data("data_efficient_portfolios_returns")

  # Prepare variables
  v_port <- data_efficient_portfolios_returns[,2]
  v_bench <- data_efficient_portfolios_returns[,1]

  # Compute RSRL
  f_RSRL(v_port, v_bench, FALSE, 0.95)

  # Compute mRSRL
  f_RSRL(v_port, v_bench, TRUE, 0.95)

# }

DiversificationR documentation built on Feb. 11, 2021, 5:05 p.m.