transferCoef: Transfer Coefficent
In PCRA: Companion to Portfolio Construction and Risk Analysis
transferCoef R Documentation
Transfer Coefficent
Description
Computes the transfer coefficient (TF), which measures
the reduction in mean excess return of an MV portfolio with weights
constraint relative to the mean excess return of an unconstrained
MV portfolio. This description also holds with portfolios mean
returns replaced by Sharpe ratios.
Usage
transferCoef(returns, wtVec)
Arguments
returns
An xts multivariate returns object that contains
the returns of the risk-free T-Bill in the last column
wtVec
The weight vector of a constrained MV portfolio
Value
Numeric value of the TC
Examples
args(transferCoef)
PCRA documentation built on July 15, 2026, 9:06 a.m.
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| transferCoef | R Documentation |
Transfer Coefficent
Description
Computes the transfer coefficient (TF), which measures the reduction in mean excess return of an MV portfolio with weights constraint relative to the mean excess return of an unconstrained MV portfolio. This description also holds with portfolios mean returns replaced by Sharpe ratios.
Usage
transferCoef(returns, wtVec)
Arguments
returns |
An xts multivariate returns object that contains the returns of the risk-free T-Bill in the last column |
wtVec |
The weight vector of a constrained MV portfolio |
Value
Numeric value of the TC
Examples
args(transferCoef)
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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