pt.dalpha: Dual-alpha

In YRmisc: Y&R Miscellaneous R Functions

Description

Dual-alpha method is to divide market alpha into downside beta and upside alpha. The principle behind is that upside and downside alphas are not the same.

Usage

pt.dalpha(ar,mr,rf)

Arguments

ar	:a vector of a risk asset return
mr	:a vector of market return
rf	:risk free rate

Examples

artn <- runif(24,0,1) # generate random number to simulate returns
mrtn <- runif(24,-1,1)
pt.dalpha(artn,mrtn,0.024)

YRmisc documentation built on March 25, 2020, 5:13 p.m.