turnover_calc: Turnover
In antshi/auxPort: Auxiliary functions for portfolio optimization

Description Usage Arguments Value Examples

Calculates the average turnover rate of a portfolio strategy.

1	turnover_calc(weights, rets_oos)

`weights`	a numerical nxp data matrix with portfolio weights.
`rets_oos`	a numerical nxp data matrix with stock returns over the same observation period as the weights.

a double, the average turnover rate over the specified observation period.

set.seed(1234)
naive_port <- matrix(runif(200, 0, 1), 20, 10)
returns_oos <- matrix(rnorm(200, 0, 0.1), 20, 10)
turnover <- turnover_calc(naive_port, returns_oos)