meucci.ranking: Asset Ranking

In PortfolioAnalytics: Portfolio Analysis, Including Numerical Methods for Optimization of Portfolios

Description

Express views on the relative expected asset returns as in A. Meucci, "Fully Flexible Views: Theory and Practice" and compute the first and second moments.

Usage

meucci.ranking(R, p, order)

Arguments

R	xts object of asset returns
p	a vector of the prior probability values
order	a vector of indexes of the relative ranking of expected asset returns in ascending order. For example, order = c(2, 3, 1, 4) means that the expected returns of R[,2] < R[,3], < R[,1] < R[,4].

Value

The estimated moments based on ranking views

Note

This function is based on the ViewRanking function written by Ram Ahluwalia in the Meucci package.

References

A. Meucci, "Fully Flexible Views: Theory and Practice" http://www.symmys.com/node/158 See Meucci script for "RankingInformation/ViewRanking.m"

See Also

meucci.moments

Examples

data(edhec)
R <- edhec[,1:4]
p <- rep(1 / nrow(R), nrow(R))
meucci.ranking(R, p, c(2, 3, 1, 4))

Example output

Loading required package: zoo

Attaching package: 'zoo'

The following objects are masked from 'package:base':

    as.Date, as.Date.numeric

Loading required package: xts
Loading required package: foreach
Loading required package: PerformanceAnalytics

Attaching package: 'PerformanceAnalytics'

The following object is masked from 'package:graphics':

    legend

Checking gradients of objective function.
Derivative checker results: 0 error(s) detected.
Checking gradients of inequality constraints.

Derivative checker results: 0 error(s) detected.
$mu
                             [,1]
Convertible Arbitrage 0.007408157
CTA Global            0.006538752
Distressed Securities 0.007408157
Emerging Markets      0.007408157

$sigma
                      Convertible Arbitrage    CTA Global Distressed Securities
Convertible Arbitrage          3.530965e-04 -4.340303e-05          2.368761e-04
CTA Global                    -4.340303e-05  6.333891e-04         -5.260163e-05
Distressed Securities          2.368761e-04 -5.260163e-05          3.374969e-04
Emerging Markets               3.883730e-04 -4.810945e-05          5.823429e-04
                      Emerging Markets
Convertible Arbitrage     3.883730e-04
CTA Global               -4.810945e-05
Distressed Securities     5.823429e-04
Emerging Markets          1.538778e-03

PortfolioAnalytics documentation built on May 1, 2019, 10:56 p.m.