MaxRsqTS: Solve for B that maximises sample r-square of F'*B' with X...

Description Usage Arguments Value Note Author(s) References

Description

Solve for B that maximises sample r-square of F'*B' with X under constraints A*G<=D and Aeq*G=Deq (A,D, Aeq,Deq conformable matrices),as described in A. Meucci, "Risk and Asset Allocation", Springer, 2005.

Usage

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  MaxRsqTS(X, F, W, A = NULL, D = NULL, Aeq = NULL, Deq,
    lb = NULL, ub = NULL)

Arguments

X

: [matrix] (T x N)

F

: [matrix] (T x K)

W

: [matrix] (N x N)

A

: [matrix] linear inequality constraints

D

: [matrix]

Aeq

: [matrix] linear equality constraints

Deq

: [matrix]

lb

: [vector] lower bound

ub

: [vector] upper bound

Value

B : [matrix] (N x K)

Note

Initial MATLAB's code by Tai-Ho Wang.

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 "MaxRsqTS.m"


R-Finance/Meucci documentation built on May 8, 2019, 3:52 a.m.