meucci.moments: Compute moments
In PortfolioAnalytics: Portfolio Analysis, Including Numerical Methods for Optimization of Portfolios
Description
Usage
Arguments
Value
Author(s)
References
Description
Compute the first and second moments using the Fully Flexible Views
framework as described in A. Meucci - "Fully Flexible Views: Theory and Practice".
Usage
1
meucci.moments(R, posterior_p)
Arguments
R
xts object of asset returns
posterior_p
vector of posterior probabilities
Value
a list with the first and second moments
mu: vector of expected returns
sigma: covariance matrix
Author(s)
Ross Bennett
References
A. Meucci - "Fully Flexible Views: Theory and Practice".
PortfolioAnalytics documentation built on May 1, 2019, 10:56 p.m.
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Description Usage Arguments Value Author(s) References
Description
Compute the first and second moments using the Fully Flexible Views framework as described in A. Meucci - "Fully Flexible Views: Theory and Practice".
Usage
1 | meucci.moments(R, posterior_p)
|
Arguments
R |
xts object of asset returns |
posterior_p |
vector of posterior probabilities |
Value
a list with the first and second moments
mu: vector of expected returnssigma: covariance matrix
Author(s)
Ross Bennett
References
A. Meucci - "Fully Flexible Views: Theory and Practice".
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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