Weight.transform: transforms weights for the attribution functions

In R-Finance/PortfolioAttribution: Performance attribution tools used for identifying sources of portfolio return and risk.

Description

Makes transformation of weights to the xts object conformable with returns and to be taken by the attribution functions

Usage

  Weight.transform(wp, Rp)

Arguments

Rp	xts, data frame or matrix of portfolio returns
wp	vector, xts, data frame or matrix of portfolio weights

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
Weight.level

Examples

data(attrib)
Weight.transform(wp = attrib.weights[1, ], Rp = attrib.returns[, 1:10])

R-Finance/PortfolioAttribution documentation built on May 8, 2019, 4:48 a.m.