pt.jalpha: Jensen's alpha

In YRmisc: Y&R Miscellaneous R Functions

Description

Jensen's alpha is a financial statistic used to quantify the abnormal return of a security or portfolio over the theoretical expected return. Unlike, standard alpha, it uses theoretical performance return instead of a market return.

Usage

pt.jalpha(pr,mr,rf,beta)

Arguments

pr	:portfolio return
mr	:market return
rf	:risk free rate
beta	:portfolio beta

Examples

prtn <- runif(24, -1, 1)
mrtn <- runif(24, -1, 1)
rf <- 0.024
pt.jalpha(mean(prtn), mean(mrtn), rf, pt.beta(prtn,mrtn))

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