HedgeTicker: Hedge Portfolio

Description Usage Arguments Value Examples

Description

Hedge Portfolio

Usage

1
2
HedgeTicker(ticker, numshares = 100, components = "^GSPC", cutoff = 0.05,
  start = Sys.Date() - 365, end = Sys.Date())

Arguments

ticker

Yahoo Finance target ticker

components

Components that you want to have 0 exposure to when you hedge

cutoff

If p-value > cutoff, exclude the portfolio component

start

Start date

end

End date

numShares

number of shares in ticker

Value

number of shares of each component necessary to hedge out exposure

Examples

1
HedgeTicker('SDRL', 100, c('SPY', 'USO'))

Texas-UCF/quantkit documentation built on May 9, 2019, 4:26 p.m.