View source: R/turnoverOpt_doug.r
TurnoverOpt_doug | R Documentation |
Specify turnover constraints using a version derived by Doug Martin
TurnoverOpt_doug( returns, mu.target = NULL, wts.initial, toc, long.only = TRUE, printDandA = FALSE )
returns, |
stock returns in xts format. |
mu.target, |
default is NULL, specify the target mean return |
toc, |
the turnover cost |
long.only, |
default is TRUE, specify if long only constraint is required |
printDandA, |
default is FALSE, specify if print the D and A matrix |
wts.inital, |
the initial weight |
use table.Performance.pool
to check available metrics. recoded SharpeRatio
Doug Martin, Kirk Li kirkli@stat.washington.edu
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