PortStat: Portfolio Statistics

In Bjerring/BEWESO: BEWESO

Description

Calculate annualized standard deviation and mean for a portfolio

Usage

  port.stat(data,port.budget,port.names,data.length)

Arguments

data	Matrix of prices
port.budget	Amount of money invested in each asset
port.names	The names of each asset
data.length	Number of days the statistics should be calculted over

Examples

data(ETFdata)

data <- apply(ETFdata+1,2,cumprod)
port.budget <- c(100,100,100,100)
port.names <- c("SPY","TIP","VDC","VNQ")
port.length<-3*220

# run function
port.stat(data,port.budget,port.names,port.length=port.length)

Bjerring/BEWESO documentation built on May 6, 2019, 7:56 a.m.