get_dlyImpliedRet_from_dlyWeights: get_dlyImpliedRet_from_dlyWeights
In audiracmichelle/optimist: Risk Parity Implied Returns
Description
gets implied returns from portfolio weights
Usage
1
2
get_dlyImpliedRet_from_dlyWeights(dlyWeights, dlyChg, halflife,
min_window = ceiling(halflife * 2.3), roll_parity = NULL)
Arguments
dlyWeights
xts that contains portfolio daily weights
dlyChg
xts that contains daily changes
halflife
number of days that accumulate 0.5 density
min_window
number of days in the first window
roll_parity
days for the output's the rolling window
audiracmichelle/optimist documentation built on Aug. 21, 2019, 7:55 p.m.
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Description
gets implied returns from portfolio weights
Usage
1 2 | get_dlyImpliedRet_from_dlyWeights(dlyWeights, dlyChg, halflife,
min_window = ceiling(halflife * 2.3), roll_parity = NULL)
|
Arguments
dlyWeights |
xts that contains portfolio daily weights |
dlyChg |
xts that contains daily changes |
halflife |
number of days that accumulate 0.5 density |
min_window |
number of days in the first window |
roll_parity |
days for the output's the rolling window |
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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