mcPrt | R Documentation |
mcPrt function compound the vector of assets in matrix form to using the multivariate data analysis. The assets must be included the items of Open
, Close
, High
, Low
and Volumn
. The function also calculate the rate of return and Sharpe ratio for portfolio selection.
mcPrt(asset, sub = "::", pstvRtn = FALSE, pr = "daily", Rf = 0.0)
asset |
a character vector of symbols. |
sub |
The character string in the form of "start date :: end date". The date format is "%Y-%M-%D". Since, the data is time series format, the rules of xts satisfied. |
pstvRtn |
logical flag to determine, if the symbols with mean of return (see, details) should be positive/negative. Missing value is taken as false. By setting |
pr |
a character specifying the desired period time of return. Default value is daily. The values get "daily", "weekly" and "monthly". |
Rf |
an integer value to give risk free. |
The values of function contain Sharpe ratio and rate of return. Sharpe ratio is defined as:
SR=\frac{\bar{R}-R_f}{\sigma_R}
where \bar{R}
is the mean asset return, R_f
is the risk free rate of return and \sigma_R
is the standard deviation (volatility) of the asset.
Let X_t
is the closing price of the asset at time t
and its value after a period of length \Delta t
, say X_{t+\Delta t}
. The return over that period is defined as:
R_t=\frac{X_{t+\Delta t}}{X_t}-1
Note that the return equation is equivalent to log return asset when the ratio value of the asset is close to 1 (see, Carmona 2003). To check the goodness of fit test on return value, maximum and minimum of prices, suggested to use the package of gnFit.
The values of function involve close
, return
, max
and min
as a matrix and xts format. The columns are a value of assets which is ordered by date. The mean return, volatility and Sharpe ratio are assigned in the out
. The plot of return vs volatility and also the graph of Sharpe ratio are outputs of function.
Carmona (2003, ISBN:0387202862)
## Not run:
fpath<-system.file("extdata", "sample.dat", package="TSEtools")
getTSE(fpath)
rtn<-mcPrt(asset0, sub="2016::", pstvRtn=TRUE, pr="weekly")$return
## End(Not run)
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