summaryRank: Compute ranks of rows of matrix and summarize them into a...

In generalCorr: Generalized Correlations, Causal Paths and Portfolio Selection

Compute ranks of rows of matrix and summarize them into a choice suggestion.

Description

This function allows getting out the choice (of a column representing a stock) from four rows of numbers quantifying the four orders of exact stochastic dominance comparisons. If the last or 10-th row for “choice" has 1 then the stock representing that column is to be chosen. That is it should get the largest (portfolio) weight. If the original matrix row names are SD1 to SD4, the same names are repeated for the extra rows representing their ranks. The row name for “sum of ranks" is sumRanks. Finally, the ranks associated with sumRanks provide the row named choice along the bottom (10-th) row of the output matrix called "out."

Usage

summaryRank(mtx)

Arguments

mtx	matrix to be ranked by row and summarized

Value

a matrix called ‘out’ having 10 rows and p columns (p=No.of stocks). Row Numbers 1 to 4 have SD1 to SD4 evaluation of areas over ECDFs. There are 6 more rows. Row No.5= SD1 ranks, Row No.6= SD2 ranks, Row No.7= SD3 ranks, Row No.8= SD4 ranks Row No.9= sum of the ranks in earlier four rows for ranks of SD1 to SD4 Row No.10= choice rank based on all four (SD1 to SD4) added together Thus, the tenth row yields choice priority number for each stock (asset) after combining the all four criteria.

Author(s)

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

See Also

exactSdMtx

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