Modeling Multivariate Asset Sets

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Description

Fitting and Simulatingassets from multivariate asset sets based on modeling skew normal and related distributions.

Usage

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assetsFit(x, method = c("st", "sn", "sc"), 
  title=NULL, description=NULL, fixed.df=NA, ...)

assetsSim(n, method=c("st", "sn", "sc"),
    model=list(beta=rep(0, 2), Omega=diag(2), alpha=rep(0, 2), nu=4), 
    assetNames=NULL)

Arguments

x

any rectangular time series object which can be converted by the function as.matrix() into a matrix object, e.g. like an object of class timeSeries, data.frame, or mts.

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: sn skew normal, st skew Student-t, and sc skew Cauchy

model

a list with the model parameters. beta a numeric vector, representing the location, Omega a symmetric positive-definite matrix (covariance matrix), alpha a numeric vector which regulates the skew of the density, nu a positive value representing the degrees of freedom.

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

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## LPP2005REC -
   # Load Swiss Pension Fund Data as Percentual Returns:
   LPP <- 100 * LPP2005REC[, 1:3]
   head(LPP)
   
## assetsFit -
   # Fit a Skew-Student-t 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)