optimpf: Calculate Sharpe ratio optimized PF weights
In MatthiasSpeicher/gryffindorrobo: Run calculations that are useful to start a roboadvisor.
Description
Usage
Arguments
Value
Examples
View source: R/portfolio_construction.R
Description
The function can optimize a time series of prices in order to
get portfolio weights that deliver the highest possible Sharpe ratio. As this
function optimizes the Sharpe Ratio, which is calculated with a seperate
function in this package, the sharpe function needs to be loaded as
well.
Usage
1
Arguments
data
A data frame or matrix that contains the time
series of prices.
Value
A data frame with containing
time series of the portfolio performance.
Examples
1
optimpf(EuStockMarkets[, 1:3])
MatthiasSpeicher/gryffindorrobo documentation built on Dec. 27, 2019, 2:15 a.m.
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Description Usage Arguments Value Examples
View source: R/portfolio_construction.R
Description
The function can optimize a time series of prices in order to
get portfolio weights that deliver the highest possible Sharpe ratio. As this
function optimizes the Sharpe Ratio, which is calculated with a seperate
function in this package, the sharpe function needs to be loaded as
well.
Usage
1 |
Arguments
data |
A |
Value
A data frame with containing
time series of the portfolio performance.
Examples
1 | optimpf(EuStockMarkets[, 1:3])
|
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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