pt.dalpha: Dual-alpha

Description Usage Arguments Examples

View source: R/pt.dalpha.R

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

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Arguments

ar

:a vector of a risk asset return

mr

:a vector of market return

rf

:risk free rate

Examples

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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.

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