simulate_strategy: Convex vs Concave Portfolio Simulation
In Reckziegel/DynamicStrategies: Convex vs Concave Portfolio Management

Description Usage Arguments Value Examples

View source: R/simulate_strategy.R

This function simulates the payoff of different kinds of dynamic strategies. Depending on the option chosen, the output may be concave or convex.

simulate_strategy(
  budget = 10000,
  horizon = 6/12,
  step = 1/252,
  mu = 0.2,
  sigma = 0.4,
  rf = 0.04,
  n_simul = 10000,
  strategy = c("max_utility", "buy_hold", "cppi", "obpi"),
  allocation = 0.5,
  floor = budget * 0.9,
  multiple = 10,
  aggressiveness = 0.5
)

`budget`	A `double`. The initial investment.
`horizon`	A `double`. The investment horizon, in years.
`step`	A `double`. The time frequency, in years.
`mu`	A `double`. The mean of the process, in years.
`sigma`	A `double`. The volatility of the process, in years.
`rf`	A `double`. The risk-free rate, in years.
`n_simul`	A `integer`. The number of simulations to be conducted.
`strategy`	A `character`. One of: "max_utility", "buy_hold", "cppi", "obpi".
`allocation`	A `double` between `0` and `1`. Only used for "max_utility" and "buy_hold".
`floor`	A `double`. The amount the investor doesn't want to loose. Only used if `strategy = "cppi"`.
`multiple`	A `integer` showing how aggressive the investor should be.
`aggressiveness`	A `double` between `0` and `1` showing how aggressive the investor should be. Higher numbers are connected with higher convexity.