evaluate_daily_return: Computes the daily increase in wealth

In benSepanski/pfselect:

Description

Given price relatives and portfolios at each period, returns a vector containing the factor by which cumulative wealth has increased at that trading period

Usage

evaluate_daily_return(
  price_relative_matrix,
  portfolios_after_trade,
  transaction_rate
)

evaluate_cumulative_wealth(
  price_relative_matrix,
  portfolios_before_trade,
  transaction_rate
)

Arguments

price_relative_matrix	A T x n matrix of price relatives
portfolios_after_trade	a T x n matrix of the portfolios after the trade (an entry in a portfolio is the portion of total wealth in that asset), the ith row is after a trade in period i but before the ith price relatives occur.
transaction_rate	The proportion of each buy/sell lost to transaction fees, must be in [0,1]

Value

a vector of length T whose ith entry reports the factor of wealth after the prices change according to the ith price relatives

Functions

• evaluate_cumulative_wealth: Gives the factor by which initial wealth has increased at each trading period.

benSepanski/pfselect documentation built on May 1, 2020, 1:57 p.m.