complement_data: Complement data

In GiuseppeTT/RiskParityBrazil: An analysis of risk parity applied to the Brazilian stock market

Description

Complement the data with the following functionalities:

• Proxy: Add "proxied" asset that is a copy of "base" asset

• Spread: Spread non-daily returns to daily returns of "spreaded" asset

• Regress: Extend "regressed" asset returns as a linear function of "base" asset returns

• Mix: Add "mixed" asset whose returns are the average of "base" assets returns for each day.

Usage

complement_data(data, config)

Arguments

data	A data frame containing asset, date and return columns.
config	A list of lists containing the complement methods and arguments. They are method (method name, one of proxy, spread, regress or mix) and arguments (method arguments).

Value

A data frame containing the following columns:

• asset

• date

• return

and arranged by asset and date.

GiuseppeTT/RiskParityBrazil documentation built on Dec. 17, 2021, 9:33 p.m.