get_optim_dlyWeights_from_dlyImpliedRet: get_optim_dlyWeights_from_dlyImpliedRet
In audiracmichelle/optimist: Risk Parity Implied Returns
Description
gets daily weights for optimal portolio from daily implied returns
Usage
1
2
get_optim_dlyWeights_from_dlyImpliedRet(dlyImpliedRet, dlyChg, halflife,
min_window = ceiling(halflife * 2.3), roll_optim = NULL, delta = 1)
Arguments
dlyImpliedRet
xts that contains portfolio daily implied returns
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_optim
days for the output's the rolling window
delta
risk aversion parameter
audiracmichelle/optimist documentation built on Aug. 21, 2019, 7:55 p.m.
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Description
gets daily weights for optimal portolio from daily implied returns
Usage
1 2 | get_optim_dlyWeights_from_dlyImpliedRet(dlyImpliedRet, dlyChg, halflife,
min_window = ceiling(halflife * 2.3), roll_optim = NULL, delta = 1)
|
Arguments
dlyImpliedRet |
xts that contains portfolio daily implied returns |
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_optim |
days for the output's the rolling window |
delta |
risk aversion parameter |
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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