ConvertCompoundedReturns2Price: Convert compounded returns to prices for equity-like...
In R-Finance/Meucci: Collection of functionality ported from the MATLAB code of Attilio Meucci.
Description
Usage
Arguments
Value
Author(s)
References
Description
Convert compounded returns to prices for equity-like
securities, as described in A. Meucci "Risk and Asset
Allocation", Springer, 2005.
Usage
1
2
ConvertCompoundedReturns2Price(Exp_Comp_Rets,
Cov_Comp_Rets, Starting_Prices)
Arguments
Exp_Comp_Rets
[vector] (N x 1) expected values of
compounded returns
Cov_Comp_Rets
[matrix] (N x N) covariance matrix
of compounded returns
Starting_Prices
[vector] (N x 1)
Value
Exp_Prices [vector] (N x 1) expected values of prices
Cov_Prices [matrix] (N x N) covariance matrix of prices
Author(s)
Xavier Valls flamejat@gmail.com
References
A. Meucci - "Exercises in Advanced Risk and Portfolio
Management" http://symmys.com/node/170. See
Meucci's script for "ConvertCompoundedReturns2Price.m".
A. Meucci - "Risk and Asset Allocation"-Springer (2005).
See (6.77)-(6.79).
R-Finance/Meucci documentation built on May 8, 2019, 3:52 a.m.
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.
Description Usage Arguments Value Author(s) References
Description
Convert compounded returns to prices for equity-like securities, as described in A. Meucci "Risk and Asset Allocation", Springer, 2005.
Usage
1 2 | ConvertCompoundedReturns2Price(Exp_Comp_Rets,
Cov_Comp_Rets, Starting_Prices)
|
Arguments
Exp_Comp_Rets |
[vector] (N x 1) expected values of compounded returns |
Cov_Comp_Rets |
[matrix] (N x N) covariance matrix of compounded returns |
Starting_Prices |
[vector] (N x 1) |
Value
Exp_Prices [vector] (N x 1) expected values of prices
Cov_Prices [matrix] (N x N) covariance matrix of prices
Author(s)
Xavier Valls flamejat@gmail.com
References
A. Meucci - "Exercises in Advanced Risk and Portfolio Management" http://symmys.com/node/170. See Meucci's script for "ConvertCompoundedReturns2Price.m".
A. Meucci - "Risk and Asset Allocation"-Springer (2005). See (6.77)-(6.79).
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.
Embedding an R snippet on your website
Add the following code to your website.
For more information on customizing the embed code, read Embedding Snippets.