ViewRanking: Computes posterior probabilities to view the rankings, as it...
In R-Finance/Meucci: Collection of functionality ported from the MATLAB code of Attilio Meucci.
Description
Usage
Arguments
Author(s)
References
Description
Computes posterior probabilities to view the rankings, as
it appears in A. Meucci, "Fully Flexible Views: Theory
and Practice", The Risk Magazine, October 2008, p
100-106.
Usage
1
ViewRanking(X, p, Lower, Upper)
Arguments
X
a vector containing returns for all the asset
classes
p
a vector containing the prior probability
values
Lower
a vector of indexes indicating which column
is lower than the corresponding column number in Upper
Upper
a vector of indexes indicating which column
is lower than the corresponding column number in Upper
Author(s)
Ram Ahluwalia ram@wingedfootcapital.com
References
A. Meucci, "Fully Flexible Views: Theory and Practice"
http://www.symmys.com/node/158 See Meucci script
for "RankingInformation/ViewRanking.m"
R-Finance/Meucci documentation built on May 8, 2019, 3:52 a.m.
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Description Usage Arguments Author(s) References
Description
Computes posterior probabilities to view the rankings, as it appears in A. Meucci, "Fully Flexible Views: Theory and Practice", The Risk Magazine, October 2008, p 100-106.
Usage
1 | ViewRanking(X, p, Lower, Upper)
|
Arguments
X |
a vector containing returns for all the asset classes |
p |
a vector containing the prior probability values |
Lower |
a vector of indexes indicating which column is lower than the corresponding column number in Upper |
Upper |
a vector of indexes indicating which column is lower than the corresponding column number in Upper |
Author(s)
Ram Ahluwalia ram@wingedfootcapital.com
References
A. Meucci, "Fully Flexible Views: Theory and Practice" http://www.symmys.com/node/158 See Meucci script for "RankingInformation/ViewRanking.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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