rank2return: Compute the portfolio return knowing the rank of a stock in...

In generalCorr: Generalized Correlations, Causal Paths and Portfolio Selection

Compute the portfolio return knowing the rank of a stock in the input ‘mtx’.

Description

This function computes the return earned knowing the rank of a stock in the input mtx of stock returns. For example, mtx has p=28 Dow Jones stocks over n=169 monthly returns. Portfolio weights are assumed to be linearly declining. If maxChosen=4, the weights are 4/10, 3/10, 2/10 and 1/10, which add up to unity. These portfolio weights are assigned in reverse order in the sense that first chosen stock (choice rank =1) gets portfolio weight=4/10. The function computes return from the stocks using the ‘myrank’ argument.

Usage

rank2return(mtx, myrank, maxChosen = 0, pctChoose = 20, verbo = FALSE)

Arguments

mtx	a matrix with n rows (number of returns) p columns (number of stocks)
myrank	vector of p integers listing the rank of each stock, 1=best
maxChosen	number of stocks in the portfolio (with nonzero weights) default=0. When maxChosen=0, we let pctChoose determine the maxChosen
pctChoose	percent of p stocks chosen inside the portfolio, default=20
verbo	logical if TRUE, print, default=TRUE

Value

average return from the linearly declining portfolio implied by the myrank vector.

Author(s)

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

See Also

outOFsamp

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