Weight.level: aggregates portfolio weights up to the chosen level from the...
In R-Finance/PortfolioAttribution: Performance attribution tools used for identifying sources of portfolio return and risk.
Description
Usage
Arguments
Author(s)
References
See Also
Examples
Description
Aggregates weights up to the chosen level from the
hierarchy. Hierarchy can be used from the
buildHierarchy function or defined manually in the
same way as the buildHierarchy's output. If for
the selected level the values in the hierarchy are
numeric, the aggregation of returns or weights is
performed by quintiles.
Usage
1
Weight.level(wp, Rp, h, level = "Sector")
Arguments
Rp
xts, data frame or matrix of portfolio returns
wp
vector, xts, data frame or matrix of portfolio
weights
h
data.frame with portfolio hierarchy
level
level from the hierarchy to which returns
and weights will be aggregated
Author(s)
Andrii Babii
References
Christopherson, Jon A., Carino, David R., Ferson, Wayne
E. Portfolio Performance Measurement and
Benchmarking. McGraw-Hill. 2009. Chapter 17
See Also
buildHierarchy
Attribution
Return.level
Examples
1
2
data(attrib)
Weight.level(wp = attrib.weights[1, ], Rp = attrib.returns[, 1:10], attrib.hierarchy, level = "Sector")
R-Finance/PortfolioAttribution documentation built on May 8, 2019, 4:48 a.m.
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Description Usage Arguments Author(s) References See Also Examples
Description
Aggregates weights up to the chosen level from the
hierarchy. Hierarchy can be used from the
buildHierarchy function or defined manually in the
same way as the buildHierarchy's output. If for
the selected level the values in the hierarchy are
numeric, the aggregation of returns or weights is
performed by quintiles.
Usage
1 | Weight.level(wp, Rp, h, level = "Sector")
|
Arguments
Rp |
xts, data frame or matrix of portfolio returns |
wp |
vector, xts, data frame or matrix of portfolio weights |
h |
data.frame with portfolio hierarchy |
level |
level from the hierarchy to which returns and weights will be aggregated |
Author(s)
Andrii Babii
References
Christopherson, Jon A., Carino, David R., Ferson, Wayne E. Portfolio Performance Measurement and Benchmarking. McGraw-Hill. 2009. Chapter 17
See Also
buildHierarchy
Attribution
Return.level
Examples
1 2 | data(attrib)
Weight.level(wp = attrib.weights[1, ], Rp = attrib.returns[, 1:10], attrib.hierarchy, level = "Sector")
|
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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