weight: Calculate Position Weights
In portfolio: Analysing Equity Portfolios

Description Usage Arguments Value Author(s) Examples

Compute position weights of various types from an input variable.

1 2	weight(x, in.var, type, size, sides, weight.var = NULL, verbose = FALSE)

`x`	A data.frame containing the columns `in.var` and `weight.var` (if necessary).
`in.var`	Character vector specifying the column in `x` that contains a ranking from which weights can be computed.
`type`	Character vector specifying the method to use for weight creation. Can be one of `c("relative", "equal", "linear", "sigmoid", "centroid", "complex")`.
`size`	Character or numeric vector specifying the number of desired non-na weights per side in the result. Can either be a positive number or one of `"all", "decile", "quintile", "tercile", "demile")`.
`sides`	Character vector specifying the sides for which to create weights. May be any nonempty subset of `"long", "short"`.
`weight.var`	Numeric vector containing specifying the column in `x` that contains weight overrides. Overrides are applied after weights have been computed. Defaults to NULL.
`verbose`	Be verbose. Defaults to FALSE.

A numeric vector of weights the same length as x.

Jeff Enos jeff@kanecap.com

data <- data.frame(in.var = 1:50, weight.var = NA)
data$in.var <- as.numeric(data$in.var)

weight(data, in.var = "in.var", type = "linear", size = "quintile",
       sides = c("long", "short"))

data$weight.var[25] <- -0.05
weight(data, in.var = "in.var", type = "linear", size = "quintile",
       sides = c("long", "short"), weight.var = "weight.var")