comp_portfo2: Compares two vectors (portfolios) using stochastic dominance...

In generalCorr: Generalized Correlations, Causal Paths and Portfolio Selection

Compares two vectors (portfolios) using stochastic dominance of orders 1 to 4.

Description

Given two vectors of portfolio returns this function calls the internal function wtdpapb to report the simple means of four sophisticated measures of stochastic dominance. as explained in Vinod (2008).

Usage

comp_portfo2(xa, xb)

Arguments

xa	Data on returns for portfolio A in the form of a T by 1 vector
xb	Data on returns for portfolio B in the form of a T by 1 vector

Value

Returns four numbers which are averages of four sophisticated measures of stochastic dominance measurements called SD1 to SD4.

Note

It is possible to modify this function to report the median or standard deviation or any other descriptive statistic by changing the line in the code 'oumean = apply(outb, 2, mean)' toward the end of this function. A trimmed mean may be of interest when outliers are suspected.

require(np)

Make sure that functions wtdpapb, bigfp, stochdom2 are in the memory. and options(np.messages=FALSE)

Author(s)

Prof. H. D. Vinod, Economics Dept., Fordham University, NY

References

Vinod, H. D.", "Hands-On Intermediate Econometrics Using R" (2008) World Scientific Publishers: Hackensack, NJ. (Chapter 4) https://www.worldscientific.com/worldscibooks/10.1142/12831

See Also

stochdom2

Examples

set.seed(30)
xa=sample(20:30)#generally lower returns
xb=sample(32:40)# higher returns in xb
gp = comp_portfo2(xa, xb)#all Av(sdi) positive means xb dominates
##positive SD1 to SD4 means xb dominates xa as it should

generalCorr documentation built on Oct. 10, 2023, 1:06 a.m.