meucci.ranking: Asset Ranking

In braverock/PortfolioAnalytics: Portfolio Analysis, Including Numerical Methods for Optimization of Portfolios

Asset Ranking

Description

Express views on the relative expected asset returns as in A. Meucci, "Fully Flexible Views: Theory and Practice" and compute the first and second moments.

Usage

meucci.ranking(R, p, order)

Arguments

R	xts object of asset returns
p	a vector of the prior probability values
order	a vector of indexes of the relative ranking of expected asset returns in ascending order. For example, order = c(2, 3, 1, 4) means that the expected returns of R[,2] < R[,3], < R[,1] < R[,4].

Value

The estimated moments based on ranking views

Note

This function is based on the ViewRanking function written by Ram Ahluwalia in the Meucci package.

References

A. Meucci, "Fully Flexible Views: Theory and Practice" http://www.symmys.com/node/158 See Meucci script for "RankingInformation/ViewRanking.m"

See Also

meucci.moments

Examples

data(edhec)
R <- edhec[,1:4]
p <- rep(1 / nrow(R), nrow(R))
meucci.ranking(R, p, c(2, 3, 1, 4))

braverock/PortfolioAnalytics documentation built on April 18, 2024, 4:09 a.m.