boot_param: Parametric Bootstrap

In antshi/auxPort: Auxiliary functions for portfolio optimization

Description

Performs a parametric bootstrap on returns time series (with an assumed normal distribution) and predefined performance measure.

Usage

boot_param(rets, B, sample_size, type = sr_calc)

Arguments

rets	an nxp data matrix with returns.
B	an integer, the number of bootstrap repetitions.
sample_size	an integer, the sample size for the parametric bootstrap.
type	a function, the performance measure to be calculated. Default is sr_calc.

Value

a Bxp data matrix with the bootstrapped values of the performance measure from type.

Examples

data(sp500_rets)
srs_boot <- boot_param(sp500_rets[,2:11], B=1000, sample_size=100, type=sr_calc)

antshi/auxPort documentation built on Oct. 27, 2020, 1:16 p.m.