transpose_b: Transpose b

In jluby/portfoliowalkr: Characteristic-Matched Random Portfolio Creation

Description

This function transposes creates parameter b for use with walkr. The function calculates the target portfolio's exposures and returns a transposed frame for matching

Usage

transpose_b(universe_small, match, portfolio.weight)

Arguments

universe_small	is the set of stocks available in the universe (with redundant assets removed), with target weights
match	is the vector of column names which contain the characteristics we'd like to match
portfolio.weight	is the name of the column which contains the target portfolio weights (for calculating exposures)

Value

b, a frame of target portfolio exposures

Examples

## Not run: 
b <- transpose_b(universe_small, match, portfolio.weight)

## End(Not run)

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