momentum: Set momentum parameters for a portfolio.model
In portfolio.optimization: Contemporary Portfolio Optimization
Description
Usage
Arguments
Value
Author(s)
Description
momentum sets a new alpha for VaR and Expected Shortfall
Usage
1
Arguments
model
the portfolio.model to be changed
n_momentum
amount of momentum assets long
n_momentum.short
amount of momentum assets short
Value
the adapted portfolio.model
Author(s)
Ronald Hochreiter, ronald@algorithmic.finance
portfolio.optimization documentation built on May 2, 2019, 8:16 a.m.
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Description Usage Arguments Value Author(s)
Description
momentum sets a new alpha for VaR and Expected Shortfall
Usage
1 |
Arguments
model |
the portfolio.model to be changed |
n_momentum |
amount of momentum assets long |
n_momentum.short |
amount of momentum assets short |
Value
the adapted portfolio.model
Author(s)
Ronald Hochreiter, ronald@algorithmic.finance
R Package Documentation
Browse R Packages
We want your feedback!
Note that we can't provide technical support on individual packages. You should contact the package authors for that.
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