excess_ret_bool: Net y returns from x returns based on boolean index

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

Description

Net y returns from x returns based on boolean index

Usage

excess_ret_bool(x, y, freq, net_rf = TRUE)

Arguments

x	data.frame of multivariate returns
y	data.frame of univariate returns
freq	character to specify common or desired frequency
net_rf	boolean index to specify which x returns to net y from

Details

Suppose x is a data.frame with 3 asset time-series and we only want to net y from the 2nd asset. net_rf should be set to c(FALSE, TRUE, FALSE). Note a single net_rf of TRUE or FALSE will respectively net all or none of x. See excess_ret for more info.

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