minPctChgTurnover: given a matrix of portfolio composition, minimize the...
In davidlamcm/Rtoolbox: Rtoolbox
Description
given a matrix of portfolio composition, minimize the turnover by only changing the position if target vs current is larger than certain percentage
does not work for negative weight
it does not guarantee wgt add up to 100percent
Usage
1
2
minPctChgTurnover(mat, thershold = 0.2, minPositionValue = 0.01,
clearanceThershold = 0.005)
Arguments
mat
matrix of turnover
thershold
percentage of deviation between target and current
minPositionValue
min position of an asset class, else will be zero
clearanceThershold
if theoretical position fall below this thershold, then will clear the existing position
davidlamcm/Rtoolbox documentation built on May 15, 2019, 1:14 a.m.
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Description
given a matrix of portfolio composition, minimize the turnover by only changing the position if target vs current is larger than certain percentage does not work for negative weight it does not guarantee wgt add up to 100percent
Usage
1 2 | minPctChgTurnover(mat, thershold = 0.2, minPositionValue = 0.01,
clearanceThershold = 0.005)
|
Arguments
mat |
matrix of turnover |
thershold |
percentage of deviation between target and current |
minPositionValue |
min position of an asset class, else will be zero |
clearanceThershold |
if theoretical position fall below this thershold, then will clear the existing position |
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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