R/PortStat.R

In Bjerring/BEWESO: BEWESO

PortStat <- function(data,port.budget,port.names,data.length){
  library(corpcor)

  data <- apply(data,2,PriceToReturn)

  if(dim(data)[1] > data.length){
    data <- data[(dim(data)[1] - data.length +1):dim(data)[1],]
  }
  port <- port.budget/sum(port.budget)
  cov.mat <- cov.shrink(data,verbose=FALSE)
  mu <- apply(data,2,mean)

  sd.port <- c(sqrt(t(port) %*% cov.mat[port.names,port.names] %*% port))*sqrt(220)
  mu.port <- c(mu[port.names] %*% port)*220

  out <- c(sd.port,mu.port)
  return(out)
}