Log2Lin: Maps moments of log-returns to linear returns .
In R-Finance/Meucci: Collection of functionality ported from the MATLAB code of Attilio Meucci.
Description
Usage
Arguments
Value
Author(s)
References
Description
Map moments of log-returns to linear returns, as
described in A. Meucci, "Risk and Asset Allocation",
Springer, 2005.
Usage
1
Log2Lin(Mu, Sigma)
Arguments
Mu
[vector] (N x 1)
Sigma
[matrix] (N x N)
Value
M [vector] (N x 1)
S [matrix] (N x N)
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 "Log2Lin.m"
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
Map moments of log-returns to linear returns, as described in A. Meucci, "Risk and Asset Allocation", Springer, 2005.
Usage
1 | Log2Lin(Mu, Sigma)
|
Arguments
Mu |
[vector] (N x 1) |
Sigma |
[matrix] (N x N) |
Value
M [vector] (N x 1)
S [matrix] (N x N)
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 "Log2Lin.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.
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