mu_estim_sample: Sample Expected Return Estimation
In antshi/auxPort: Auxiliary functions for portfolio optimization
Description
Usage
Arguments
Details
Value
Examples
Description
Computes the sample estimator of the expected return.
Usage
1
Arguments
data
an nxp data matrix
Details
The sample estimator of the expected returns for an n\times p data matrix X are computed with the following formula:
\hat{μ}=\frac{1}{n}∑_{i=1}^{n}X_{i}
(for i=1,…, n).
Value
a vector of expected returns
Examples
1
2
3
data(sp500_rets)
sp_rets <- sp500_rets[,-1]
mu_sample <- mu_estim_sample(sp_rets)
antshi/auxPort documentation built on Oct. 27, 2020, 1:16 p.m.
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Description Usage Arguments Details Value Examples
Description
Computes the sample estimator of the expected return.
Usage
1 |
Arguments
data |
an nxp data matrix |
Details
The sample estimator of the expected returns for an n\times p data matrix X are computed with the following formula:
\hat{μ}=\frac{1}{n}∑_{i=1}^{n}X_{i}
(for i=1,…, n).
Value
a vector of expected returns
Examples
1 2 3 | data(sp500_rets)
sp_rets <- sp500_rets[,-1]
mu_sample <- mu_estim_sample(sp_rets)
|
R Package Documentation
Browse R Packages
We want your feedback!
Note that we can't provide technical support on individual packages. You should contact the package authors for that.
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