BernardoLedoitRatio: Bernardo and Ledoit ratio of the return distribution
In JFE: Tools and GUI for Analyzing Time Series Data of Just Finance and Econometrics
BernardoLedoitRatio R Documentation
Bernardo and Ledoit ratio of the return distribution
Description
To calculate Bernardo and Ledoit ratio we take the sum of the subset of
returns that are above 0 and we divide it by the opposite of the sum of
the subset of returns that are below 0
Usage
BernardoLedoitRatio(R)
Arguments
R
an xts, vector, matrix, data frame, timeSeries or zoo object of
asset returns
Details
BernardoLedoitRatio(R) = \frac{\frac{1}{n}\sum^{n}_{t=1}{max(R_{t},0)}}{\frac{1}{n}\sum^{n}_{t=1}{max(-R_{t},0)}}
where n is the number of observations of the entire series
Author(s)
Ho Tsung-wu <tsungwu@ntnu.edu.tw>, College of Management, National Taiwan Normal University.
References
Carl Bacon, Practical portfolio performance measurement
and attribution, second edition 2008 p.95.
See also package PerformanceAnalytics.
Examples
data(assetReturns)
BernardoLedoitRatio(R=assetReturns)
JFE documentation built on Aug. 28, 2023, 9:06 a.m.
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| BernardoLedoitRatio | R Documentation |
Bernardo and Ledoit ratio of the return distribution
Description
To calculate Bernardo and Ledoit ratio we take the sum of the subset of returns that are above 0 and we divide it by the opposite of the sum of the subset of returns that are below 0
Usage
BernardoLedoitRatio(R)
Arguments
R |
an xts, vector, matrix, data frame, timeSeries or zoo object of asset returns |
Details
BernardoLedoitRatio(R) = \frac{\frac{1}{n}\sum^{n}_{t=1}{max(R_{t},0)}}{\frac{1}{n}\sum^{n}_{t=1}{max(-R_{t},0)}}
where n is the number of observations of the entire series
Author(s)
Ho Tsung-wu <tsungwu@ntnu.edu.tw>, College of Management, National Taiwan Normal University.
References
Carl Bacon, Practical portfolio performance measurement
and attribution, second edition 2008 p.95.
See also package PerformanceAnalytics.
Examples
data(assetReturns)
BernardoLedoitRatio(R=assetReturns)
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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