EstimateHedge: EstimateHedge
In jspinney-nbimc/mqim6604: R package for MQIM 6604 - Quantitative Portfolio Management at UNB
Description
Usage
Arguments
Value
Description
Calculate optimal hedge ratio coefficients for a set of instruments
with the constraint that the sum of the coefficients equals 1
Usage
1
EstimateHedge(target_var, hedge_vars)
Arguments
target_var
A data frame of dimension t x 1 containing the target
variable to be hedged.
hedge_vars
A data frame of dimension t x k containing k variables
or istruments to be used within the hedge portfolio.
Value
A list object containing the constrained hedge ratios, the
unconstrained hedge ratios, the r-squared of both the constrained and
unconstrained solutions, as well as the efficiency loss (pct reduction in Rsq)
from the edge constraint.
jspinney-nbimc/mqim6604 documentation built on May 25, 2019, 6:25 p.m.
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Description Usage Arguments Value
Description
Calculate optimal hedge ratio coefficients for a set of instruments with the constraint that the sum of the coefficients equals 1
Usage
1 | EstimateHedge(target_var, hedge_vars)
|
Arguments
target_var |
A data frame of dimension t x 1 containing the target variable to be hedged. |
hedge_vars |
A data frame of dimension t x k containing k variables or istruments to be used within the hedge portfolio. |
Value
A list object containing the constrained hedge ratios, the unconstrained hedge ratios, the r-squared of both the constrained and unconstrained solutions, as well as the efficiency loss (pct reduction in Rsq) from the edge constraint.
R Package Documentation
Browse R Packages
We want your feedback!
Note that we can't provide technical support on individual packages. You should contact the package authors for that.
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