HedgePortfolio: Hedge Portfolio
In Texas-UCF/quantkit: Quantitative analysis for financial markets
Description
Usage
Arguments
Value
Examples
Description
Hedge Portfolio
Usage
1
2
HedgePortfolio(portfolio, hedgePositions, cutoff = 0.05, start = Sys.Date()
- 365, end = Sys.Date())
Arguments
portfolio
character vector of Yahoo Finance tickers
hedgePositions
1 : long on ticker, 0 : no exposure to ticker, -1 : short on ticker
cutoff
If p-value > cutoff, exclude the portfolio component
start
Start date
end
End date
Value
numeric vector of hedge ratios for entire portfolio
Examples
1
HedgePortfolio(c('SDRL', 'SDLP', 'SPY', 'USO'), c(-1, 1, 0, 0))
Texas-UCF/quantkit documentation built on May 9, 2019, 4:26 p.m.
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Description Usage Arguments Value Examples
Description
Hedge Portfolio
Usage
1 2 | HedgePortfolio(portfolio, hedgePositions, cutoff = 0.05, start = Sys.Date()
- 365, end = Sys.Date())
|
Arguments
portfolio |
character vector of Yahoo Finance tickers |
hedgePositions |
1 : long on ticker, 0 : no exposure to ticker, -1 : short on ticker |
cutoff |
If p-value > cutoff, exclude the portfolio component |
start |
Start date |
end |
End date |
Value
numeric vector of hedge ratios for entire portfolio
Examples
1 | HedgePortfolio(c('SDRL', 'SDLP', 'SPY', 'USO'), c(-1, 1, 0, 0))
|
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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