get_meanRet_from_dlyChg: get_meanRet_from_dlyChg
In audiracmichelle/optimist: Risk Parity Implied Returns
Description
Builds weights with geometric truncated decay
Usage
1
2
get_meanRet_from_dlyChg(dlyChg, method = "geometric", halflife = NULL,
interval = c(1e-06, 0.999999), annualization_factor = 1)
Arguments
dlyChg
xts that contains daily changes
method
either 'arithmetic' or 'geometric'
halflife
number of days that accumulate 0.5 density
interval
as in uniroot
annualization_factor
in days (252 days in a year)
audiracmichelle/optimist documentation built on Aug. 21, 2019, 7:55 p.m.
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Description
Builds weights with geometric truncated decay
Usage
1 2 | get_meanRet_from_dlyChg(dlyChg, method = "geometric", halflife = NULL,
interval = c(1e-06, 0.999999), annualization_factor = 1)
|
Arguments
dlyChg |
xts that contains daily changes |
method |
either 'arithmetic' or 'geometric' |
halflife |
number of days that accumulate 0.5 density |
interval |
as in uniroot |
annualization_factor |
in days (252 days in a year) |
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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