rebal: Combine assets into a portfolio time-series

In alejandro-sotolongo/InvMgmt:

Description

Combine assets into a portfolio time-series

Usage

rebal(
  ret,
  reb_wgt = NA,
  reb_freq = "q",
  ret_freq = "d",
  date_start = NA,
  date_end = Sys.Date(),
  t_cost = NA
)

Arguments

ret	time-series in a data.frame or tibble
reb_wgt	vector of rebalance weights or a data.frame containing a time-series of rebalance dates and corresponding weights, if left as NA an equal weighted assumption will be made
reb_freq	a rebalance frequency to transform a rebalance vector into a time-series of rebalance weights
ret_freq	return frequency of the time-series containing asset returns
date_start	inception date to truncate portfolio returns
date_end	ending date to truncate portfolio returns
t_cost	optional input for transactions costs

See Also

Other return time-series: changeFreq(), checkRet(), getIncept(), priceToRet(), retToPrice()

alejandro-sotolongo/InvMgmt documentation built on Dec. 18, 2019, 3:33 a.m.