get_covRet_from_dlyChg: get_covRet_from_dlyChg
In audiracmichelle/optimist: Risk Parity Implied Returns
Description
builds weighted covariance matrix
Usage
1
get_covRet_from_dlyChg(dlyChg, halflife = NULL, ...)
Arguments
dlyChg
xts that contains daily changes
halflife
number of days that accumulate 0.5 density
...
parameters passed to get_w_with_geomTruncDecay()
audiracmichelle/optimist documentation built on Aug. 21, 2019, 7:55 p.m.
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Description
builds weighted covariance matrix
Usage
1 | get_covRet_from_dlyChg(dlyChg, halflife = NULL, ...)
|
Arguments
dlyChg |
xts that contains daily changes |
halflife |
number of days that accumulate 0.5 density |
... |
parameters passed to get_w_with_geomTruncDecay() |
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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