turnOver: Portfolio Turnover
In PCRA: Companion to Portfolio Construction and Risk Analysis
turnOver R Documentation
Portfolio Turnover
Description
Calculates T-1 turn-over values for a times of portfolio
weight vectors from time t = 1 to time t = T, where the turnover from time
t-1 to time t is the sum of the absolute differences between the portfolio
weights at time t-1 and time t.
Usage
turnOver(weights)
Arguments
weights
A multivariate xts object of portfolio weights
Value
A zoo time series object containing T-1 turnover values
Examples
args(turnOver)
PCRA documentation built on Aug. 30, 2023, 9:09 a.m.
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| turnOver | R Documentation |
Portfolio Turnover
Description
Calculates T-1 turn-over values for a times of portfolio weight vectors from time t = 1 to time t = T, where the turnover from time t-1 to time t is the sum of the absolute differences between the portfolio weights at time t-1 and time t.
Usage
turnOver(weights)
Arguments
weights |
A multivariate xts object of portfolio weights |
Value
A zoo time series object containing T-1 turnover values
Examples
args(turnOver)
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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