tangentpf: En funktion til beregning af vægtene for tangentporteføljen
In Asbjoern00/Fin1: Praktiske funktioner i forbindelse med typiske opgaver til fin1 eksamen
tangentpf R Documentation
En funktion til beregning af vægtene for tangentporteføljen
Description
En funktion til beregning af vægtene for tangentporteføljen
Usage
tangentpf(mu, sigma, riskfree)
Arguments
mu
En vektor med forventede afkastrater
sigma
covariansmatrix
riskfree
renten på det risikofri aktiv
Value
vægtene for tangentporteføljen
Examples
mu <- c(0.03,0.05,0.06)
sigma <- matrix(c(0.04,0.01,0.01,0.01,0.09,0.01,0.01,0.01,0.16), ncol =3)
riskfree <- 0.01
tangentpf(mu, sigma,riskfree)
Asbjoern00/Fin1 documentation built on June 12, 2022, 12:55 a.m.
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| tangentpf | R Documentation |
En funktion til beregning af vægtene for tangentporteføljen
Description
En funktion til beregning af vægtene for tangentporteføljen
Usage
tangentpf(mu, sigma, riskfree)
Arguments
mu |
En vektor med forventede afkastrater |
sigma |
covariansmatrix |
riskfree |
renten på det risikofri aktiv |
Value
vægtene for tangentporteføljen
Examples
mu <- c(0.03,0.05,0.06) sigma <- matrix(c(0.04,0.01,0.01,0.01,0.09,0.01,0.01,0.01,0.16), ncol =3) riskfree <- 0.01 tangentpf(mu, sigma,riskfree)
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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