sropt | R Documentation |
Spawns an object of class sropt
.
sropt(z.s, df1, df2, drag = 0, ope = 1, epoch = "yr", T2 = NULL)
z.s |
an optimum Sharpe ratio statistic. |
df1 |
the number of assets in the portfolio. |
df2 |
the number of observations. |
drag |
the 'drag' term, |
ope |
the number of observations per 'epoch'. For convenience of
interpretation, The Sharpe ratio is typically quoted in 'annualized'
units for some epoch, that is, 'per square root epoch', though returns
are observed at a frequency of |
epoch |
the string representation of the 'epoch', defaulting to 'yr'. |
T2 |
the Hotelling |
The sropt
class contains information about a rescaled T^2-statistic.
The following are list attributes of the object:
The (optimal) Sharpe ratio statistic.
The number of assets.
The number of observations.
The drag term, which is the 'risk free rate' divided by the maximum risk.
The 'observations per epoch'.
The string name of the 'epoch'.
For the most part, this constructor should not be called directly,
rather as.sropt
should be called instead to compute the
needed statistics.
a list cast to class sropt
, with the following attributes:
the optimal Sharpe statistic.
the number of assets.
the number of observed vectors.
the input drag
term.
the input ope
term.
the input epoch
term.
the Hotelling T^2
statistic.
2FIX: allow rownames?
Steven E. Pav shabbychef@gmail.com
reannualize
as.sropt
Other sropt:
as.sropt()
,
confint.sr()
,
dsropt()
,
is.sropt()
,
pco_sropt()
,
power.sropt_test()
,
reannualize()
,
sropt_test()
# roll your own.
ope <- 253
zeta.s <- 1.0
df1 <- 10
df2 <- 6 * ope
set.seed(as.integer(charToRaw("fix seed")))
rvs <- rsropt(1,df1,df2,zeta.s,ope,drag=0)
roll.own <- sropt(z.s=rvs,df1,df2,drag=0,ope=ope)
print(roll.own)
# put a bunch in. naming becomes a problem.
rvs <- rsropt(5,df1,df2,zeta.s,ope,drag=0)
roll.own <- sropt(z.s=rvs,df1,df2,drag=0,ope=ope)
print(roll.own)
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