centroid.complete.mc: Complete Cases Centroid

Description

Numerical method to estimate complete cases centroid

Usage

1
centroid.complete.mc(order, simulations = 1000)

Arguments

order

a vector of indexes of the relative ranking of expected asset returns in ascending order. For example, order = c(2, 3, 1, 4) expresses a view on the expected returns such that R_2 < R_3 < R_1 < R_4

simulations

number of simulations

Value

the centroid vector

Author(s)

Ross Bennett

Examples

1
2
3
# Express a view on the assets such that
# R_2 < R_1 < R_3 < R_4
centroid.complete.mc(c(2, 1, 3, 4))

Questions? Problems? Suggestions? or email at ian@mutexlabs.com.

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