createRealizedPortfolioTimeSeries: extract optimization statistics from the optimization object

Description Usage Arguments Value Examples

View source: R/E-createRealizedPortfolioTimeSeries.R

Description

extract optimization statistics from the optimization object

Usage

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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

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FUNCTION STILL UNDER DEVELOPMENT

erolbicero/tsconv documentation built on May 13, 2017, 8:23 p.m.