matchedPortfolio-class: Class "matchedPortfolio"

In portfolio: Analysing Equity Portfolios

Description

An object of the class "matchedPortfolio" that contains an object of class "portfolioBasic" and a matrix of weights for portfolios that have been matched to the "portfolioBasic" according to variables specified in a formula.

Objects from the Class

Objects can be created by calls of the form new("matchedPortfolio", ...).

Slots

formula:

an object of class formula specifying the treatment variable and the covariates on which to match.

original:

an object of class "portfolioBasic", the attributes of which will be used for matching.

matches:

Object of class "matrix" with a column for each matched portfolio.

method:

Object of class "character" specifying the matching method used to generate the matched portfolio.

omitted.control:

Object of class "numeric" containing the number of observations omitted from the control.

omitted.treatment:

Object of class "numeric" containing the number of observations omitted from the treatment.

Methods

show

signature(object = "matchedPortfolio"): prints basic information about the original portfolio and its matches.

summary

signature(object = "matchedPortfolio"): prints detailed information about the original portfolio and its matches.

performance

signature(object = "matchedPortfolio"): calculates the mean performance across all matched portfolios.

exposure

signature(object = "matchedPortfolio", exp.var = "character"): calculates the exposure across each variable in exp.var.

contribution

signature(object = "matchedPortfolio", contrib.var = "character"): calculates the contribution across each variable in contrib.var.

plot

signature(x = "matchedPortfolio", y = "missing"): graphs exposure and contribution.

Details

The matches matrix contains as many rows as there are stocks in the data slot of original and as many columns as there are matched portfolios. The row labels of the matrix are the values of original@data[["id.var"]] and each column is a matched portfolio. The cell values are the weights of the stock in the portfolio.

Author(s)

Daniel Gerlanc [e-mail]

See Also

portfolioBasic-class

Examples

m.p <- new("matchedPortfolio")

portfolio documentation built on July 10, 2021, 5:08 p.m.