GenWsUD: Generate global weights for US/Intl(DM/EM) (UD rep)

In hughshuwang/isocyanate: isocyanate (R-N=C=O)

Description

designed for the following scenario: US/Intl(DM/EM), preset initial (index) weights in portfolio presented by US weight in overall portfolio and DM weight in international portfolio, pass in signal series with value ranging from 0 to 1, with the same index as monthly return

Usage

GenWsUD(UD.signal, names, us.init = 0.5, dm.init = 0.34/0.15)

Arguments

UD.signal	xts object with 2 columns (us.signal and dm.signal). us.signal: xts object series of signals of US market in the overall portfolio, ranging from 0 to 1, default: monthly periodicity. dm.signal xts objects series of signals of DM in the international portfolio, default: monthly periodicity, ranging from 0 to 1, calculated in the same way as us.signal check 2 signals have the same index as monthly return
names	colnames of output, user should double check
us.init, dm.init	numeric initial weight of us market in overall, dm in intl

Value

xts object series of weights of US, DM, EM in the international portfolio, using same index as input signals

hughshuwang/isocyanate documentation built on May 30, 2019, 7:17 a.m.