createRealizedPortfolioTimeSeries: extract optimization statistics from the optimization object

In erolbicero/tsconv: Time Series Convenience

Description

extract optimization statistics from the optimization object

Usage

createRealizedPortfolioTimeSeries(linearReturnMatrix, weightMatrix,
  includeConstituents = FALSE, benchmark = NA,
  portfolioName = "Portfolio", benchmarkName = "Benchmark",
  rebalance = TRUE)

Arguments

linearReturnMatrix	a linear return xts matrix
weightMatrix	a weight xts object, with same number of columns as the linearReturnMatrix
includeConstituents	logical, if TRUE, the output will append the unweighted constituents of the portfolio; defaults to FALSE
benchmark	an xts vector of linear returns; if not NA, then will append this to the resulting xts object; defaults to NA (not inlcuded)
portfolioName	a character string, defaults to "Portfolio"
benchmarkName	a character string, used to rename a benchmark that's included; defaults to "Benchmark"

Value

an xts matrix of results OR a list of matrices depending on the selection

Examples

FUNCTION STILL UNDER DEVELOPMENT

erolbicero/tsconv documentation built on May 16, 2019, 8:49 a.m.