torsion: Computes the Minimum Torsion Matrix

In uncorbets: Uncorrelated Bets via Minimum Torsion Algorithm

Description

Computes the Principal Components Torsion and the Minimum Torsion for diversification analysis.

Usage

torsion(sigma, model = "minimum-torsion", method = "exact", max_niter = 10000L)

Arguments

sigma	A n x n covariance matrix.
model	One of: "pca" or "minimum-torsion".
method	One of: "approximate" or "exact". Only used when model = "minimum-torsion".
max_niter	An integer with the maximum number of iterations.

Value

A n x n torsion matrix.

Examples

# extract the invariants from the data
set.seed(123)
log_ret <- matrix(rnorm(400), ncol = 4) / 10

# calculate the covariance matrix
sigma <- stats::cov(log_ret)

# torsion
torsion(sigma = sigma, model = 'minimum-torsion', method ='exact')

uncorbets documentation built on Sept. 24, 2021, 9:07 a.m.