calc_returns: Calculate Portfolio Returns

In jluby/portfoliowalkr: Characteristic-Matched Random Portfolio Creation

Description

This function calculates the returns of all of the portfolios considered, adding in a portfolio with even weight across the universe for comparison

Usage

calc_returns(weighted_universe, universe, portfolio.weight, ret.var,
  points)

Arguments

weighted_universe	is the universe parameter with characteristic-matching random weights joined
universe	is the universe of assets and their characteristics
portfolio.weight	is the name of the column which contains the target portfolio weights (for calculating exposures)
ret.var	is the name of the column which contains the returns of each asset
points	is the number of randomly sampled portfolios

Value

returns, a data.frame of each portfolio's return

Examples

## Not run: 
returns <- calc_returns(weighted_universe, universe, portfolio.weight, ret.var, points)

## End(Not run)

jluby/portfoliowalkr documentation built on April 4, 2020, 1:46 a.m.