get_riskParity_dlyWeights: get_riskParity_dlyWeights

In audiracmichelle/optimist: Risk Parity Implied Returns

Description

Builds an 'xts' that contains daily risk parity weights

Usage

get_riskParity_dlyWeights(dlyChg,
  fun_riskParity_weights = get_naiveParity_weights, halflife,
  min_window = ceiling(halflife * 2.3), roll_parity = NULL, ...)

Arguments

dlyChg	xts that contains daily changes
fun_riskParity_weights	function to compute risk parity weights
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
...	fun_riskParity_weights() parameters

audiracmichelle/optimist documentation built on Aug. 21, 2019, 7:55 p.m.