rank2sell: 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’. This function computes the return earned knowing the rank of a stock computed elsewhere and named myrank associate with the data columns 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 1/10, 2/10, 3/10 and 4/10, which add up to unity. These portfolio weights are assigned in their order in the sense that first chosen stock (choice rank =p) gets portfolio weight=4/10. The function computes return from the stocks using the ‘myrank’ argument. This helps in assessing out-of-sample performance of (short) the strategy of selling lowest ranking stocks. It is mostly for internal use by outOFsell(). This is a sell version of rank2return().

Description

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

This function computes the return earned knowing the rank of a stock computed elsewhere and named myrank associate with the data columns 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 1/10, 2/10, 3/10 and 4/10, which add up to unity. These portfolio weights are assigned in their order in the sense that first chosen stock (choice rank =p) gets portfolio weight=4/10. The function computes return from the stocks using the ‘myrank’ argument. This helps in assessing out-of-sample performance of (short) the strategy of selling lowest ranking stocks. It is mostly for internal use by outOFsell(). This is a sell version of rank2return().

Usage

rank2sell(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

outOFsell

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