GenPCBasis: This function computes the conditional principal portfolios
In R-Finance/Meucci: Collection of functionality ported from the MATLAB code of Attilio Meucci.
Description
Usage
Arguments
Value
Author(s)
References
Description
This function computes the conditional principal
portfolios
Usage
1
GenPCBasis(S, A)
Arguments
S
Covariance Matrix
A
Conditioning Matrix
Value
a list containing
E a matrix containing conditional principal portfolios
composition
L a matrix containing conditional principal portfolios
variances
G map weights -> conditional diversification distribution
(square root of, not normalized)
e_{n} \equiv argmax_{ e'e \equiv 1 } \big\{ e'
Σ e \big\} s.t. e' Σ e_{j} \equiv 0
Author(s)
Manan Shah mkshah@cmu.edu
References
A. Meucci - "Managing Diversification", Risk Magazine,
June 2009 - Formula (12)
http://ssrn.com/abstract=1358533
R-Finance/Meucci documentation built on May 8, 2019, 3:52 a.m.
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Description Usage Arguments Value Author(s) References
Description
This function computes the conditional principal portfolios
Usage
1 | GenPCBasis(S, A)
|
Arguments
S |
Covariance Matrix |
A |
Conditioning Matrix |
Value
a list containing
E a matrix containing conditional principal portfolios composition
L a matrix containing conditional principal portfolios variances
G map weights -> conditional diversification distribution (square root of, not normalized)
e_{n} \equiv argmax_{ e'e \equiv 1 } \big\{ e' Σ e \big\} s.t. e' Σ e_{j} \equiv 0
Author(s)
Manan Shah mkshah@cmu.edu
References
A. Meucci - "Managing Diversification", Risk Magazine, June 2009 - Formula (12) http://ssrn.com/abstract=1358533
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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