MinimumConnectednessPortfolio: Minimum connectedness portfolio

In YiffyGuo/GabauerDavid-ConnectednessApproach: Connectedness Approach

Minimum connectedness portfolio

Description

This function calculates the minimum connectedness portfolio

Usage

MinimumConnectednessPortfolio(
  x,
  H,
  method = c("cumsum", "cumprod"),
  long = TRUE,
  statistics = c("Fisher", "Bartlett", "Fligner-Killeen", "Levene", "Brown-Forsythe"),
  digit = 2
)

Arguments

x	zoo return matrix (in percentage)
H	Pairwise connectedness matrix or alternatively variance-covariance or correlation matrix
method	Cumulative sum or cumulative product
long	Allow only long portfolio position
statistics	Hedging effectiveness statistic
digit	Number of decimal places

Value

Get portfolio weights

Author(s)

David Gabauer

References

Broadstock, D. C., Chatziantoniou, I., & Gabauer, D. (2020). Minimum Connectedness Portfolios and the Market for Green Bonds: Advocating Socially Responsible Investment (SRI) Activity. Available at SSRN 3793771.\ Ederington, L. H. (1979). The hedging performance of the new futures markets. The Journal of Finance, 34(1), 157-170.\ Antonakakis, N., Cunado, J., Filis, G., Gabauer, D., & de Gracia, F. P. (2020). Oil and asset classes implied volatilities: Investment strategies and hedging effectiveness. Energy Economics, 91, 104762.

Examples

data("g2020")
fit = VAR(g2020, configuration=list(nlag=1))
dca = TimeConnectedness(Phi=fit$B, Sigma=fit$Q, nfore=10, generalized=TRUE)
mcp = MinimumConnectednessPortfolio(g2020, dca$PCI, statistics="Fisher")
mcp$TABLE

YiffyGuo/GabauerDavid-ConnectednessApproach documentation built on April 15, 2022, 5:20 p.m.