meucci.moments: Compute moments
In braverock/PortfolioAnalytics: Portfolio Analysis, Including Numerical Methods for Optimization of Portfolios
View source: R/meucci_moments.R
meucci.moments R Documentation
Compute moments
Description
Compute the first and second moments using the Fully Flexible Views
framework as described in A. Meucci - "Fully Flexible Views: Theory and Practice".
Usage
meucci.moments(R, posterior_p)
Arguments
R
xts object of asset returns
posterior_p
vector of posterior probabilities
Value
a list with the first and second moments
mu: vector of expected returns
sigma: covariance matrix
Author(s)
Ross Bennett
References
A. Meucci - "Fully Flexible Views: Theory and Practice".
braverock/PortfolioAnalytics documentation built on Aug. 25, 2024, 1:03 a.m.
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View source: R/meucci_moments.R
| meucci.moments | R Documentation |
Compute moments
Description
Compute the first and second moments using the Fully Flexible Views framework as described in A. Meucci - "Fully Flexible Views: Theory and Practice".
Usage
meucci.moments(R, posterior_p)
Arguments
R |
xts object of asset returns |
posterior_p |
vector of posterior probabilities |
Value
a list with the first and second moments
mu:vector of expected returns
sigma:covariance matrix
Author(s)
Ross Bennett
References
A. Meucci - "Fully Flexible Views: Theory and Practice".
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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