meanReturns4Types: Four Types of Mean Returns

In PCRA: Companion to Portfolio Construction and Risk Analysis

Four Types of Mean Returns

Description

Computation of arithmetic mean, logarithmic mean, geometric mean, and an approximate geometric mean.

Usage

meanReturns4Types(return, robust = FALSE, eff = 0.95)

Arguments

return	An xts object or a numeric vector of returns
robust	A logical value controlling whether a classical or robust sample mean and standard deviation is computed. Default is FALSE
eff	Normal distribution efficiency of RobStatTM function locScaleM() used for computing a robust location estimate

Value

fourMeans numeric values of the four means in the Description

Examples

args(meanReturns4Types)

PCRA documentation built on Aug. 30, 2023, 9:09 a.m.