View source: R/meucci_ranking.R
meucci.ranking | R Documentation |
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.
meucci.ranking(R, p, order)
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, |
The estimated moments based on ranking views
This function is based on the ViewRanking
function written by
Ram Ahluwalia in the Meucci package.
A. Meucci, "Fully Flexible Views: Theory and Practice" https://www.arpm.co/articles/fully-flexible-views-theory-and-practice/ See Meucci script for "RankingInformation/ViewRanking.m"
meucci.moments
data(edhec)
R <- edhec[,1:4]
p <- rep(1 / nrow(R), nrow(R))
meucci.ranking(R, p, c(2, 3, 1, 4))
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