cov_wgt_avg: Weighted average covariance matrix

In alejandro-sotolongo/InvestmentSuite: Investment Asset and Portfolio Time-Series Analysis

Description

Weighted average covariance matrix

Usage

cov_wgt_avg(
  ret,
  long_win = 252,
  med_win = 63,
  short_win = 21,
  long_wgt = 0.25,
  med_wgt = 0.25,
  short_wgt = 0.5
)

Arguments

ret	data.frame containing returns
long_win	= long window length
med_win	= medium window length
short_win	= short window length
long_wgt	= weight of long window covariance
med_wgt	= weight of medium window covariance
short_wgt	= weight of short window covariance

Note

The short window and weight place a higher emphasis on recent returns, while the longer window and weight place a more neutral weight on recent returns and returns further in the past. This covariance calculation is similar to an exponentially weighted moving average but is less computationally intensive.

alejandro-sotolongo/InvestmentSuite documentation built on Jan. 19, 2020, 5:20 p.m.