assign_portfolio: Assign Portfolios Based on Sorting Variable

In tidyfinance: Tidy Finance Helper Functions

Assign Portfolios Based on Sorting Variable

Description

This function assigns data points to portfolios based on a specified sorting variable and the selected function to compute breakpoints. Users can specify a function to compute breakpoints. The function must take data and sorting_variable as the first two arguments. Additional arguments are passed with a named list breakpoint_options. The function needs to return an ascending vector of breakpoints. By default, breakpoints are computed with compute_breakpoints. The default column names can be modified using data_options.

Usage

assign_portfolio(
  data,
  sorting_variable,
  breakpoint_options = NULL,
  breakpoint_function = compute_breakpoints,
  data_options = NULL
)

Arguments

data	A data frame containing the dataset for portfolio assignment.
sorting_variable	A string specifying the column name in data to be used for sorting and determining portfolio assignments based on the breakpoints.
breakpoint_options	An optional named list of arguments passed to breakpoint_function.
breakpoint_function	A function to compute breakpoints. The default is set to compute_breakpoints.
data_options	A named list of data_options with characters, indicating the column names required to run this function. The required column names identify dates. Defaults to date = date and id = permno.

Value

A vector of portfolio assignments for each row in the input data.

Examples

data <- data.frame(
  id = 1:100,
  exchange = sample(c("NYSE", "NASDAQ"), 100, replace = TRUE),
  market_cap = 1:100
)

assign_portfolio(data, "market_cap", breakpoint_options(n_portfolios = 5))

assign_portfolio(
  data, "market_cap",
  breakpoint_options(percentiles = c(0.2, 0.4, 0.6, 0.8), breakpoint_exchanges = c("NYSE"))
)

tidyfinance documentation built on April 3, 2025, 6:10 p.m.