Description Usage Arguments Details Value Author(s)
Construct a regime.portfolios
object that contains
a time series of regimes and portfolios corresponding to
the regimes.
1 | regime.portfolios(regime, portfolios)
|
regime |
xts or zoo object specifying the regime |
portfolios |
list of portfolios created by
|
Create a regime.portfolios
object to support
regime switching optimization. This object is then passed
in as the portfolio
argument in
optimize.portfolio
. The regime is detected and the
corresponding portfolio is selected. For example, if the
current regime is 1, then portfolio 1 will be selected
and used in the optimization.
a regime.portfolios
object with the following
elements
regime: An xts object of the regime
portfolio: List of portfolios corresponding to the regime
Ross Bennett
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