Modeling Multivariate Asset Sets
Description
Fitting and Simulatingassets from multivariate asset sets based on modeling skew normal and related distributions.
Usage
1 2 3 4 5 6 
Arguments
x 
any rectangular time series object which can be converted by the
function 
n 
a numeric value which represents the number of random vectors to be drawn. 
method 
a character string with the names of the supported distributions:

model 
a list with the model parameters.

fixed.df 
a logical value, should the degreess of freedom fitted or held fixed? 
title 
an optional project title. 
description 
an option project desctiption. 
assetNames 
a character vector with optional asset names. 
... 
optional arguments passed to the underlying functions. 
Value
assetsFit
returns the fitted parameters, assetsSim
returns a simulated (return) series.
Author(s)
Diethelm Wuertz for the Rmetrics port.
References
Wuertz, D., Chalabi, Y., Chen W., Ellis A. (2009); Portfolio Optimization with R/Rmetrics, Rmetrics eBook, Rmetrics Association and Finance Online, Zurich.
Examples
1 2 3 4 5 6 7 8 9 10 11 12 13 14 15 16 17 18 19  ## LPP2005REC 
# Load Swiss Pension Fund Data as Percentual Returns:
LPP < 100 * LPP2005REC[, 1:3]
head(LPP)
## assetsFit 
# Fit a SkewStudentt Distribution:
fit < assetsFit(LPP)
# Extract the Model:
model < fit@fit$dp
# Show Model Slot:
print(model)
## assetsSim 
# Simulate set with same statistical properties:
set.seed(1953)
LPP.SIM < assetsSim(n=nrow(LPP), model=model)
colnames(LPP.SIM) < colnames(LPP)
head(LPP.SIM)
