muEst: muEst returns a simple weighted average of the current return...

In kecoli/PCRM: Companion to Portfolio Construction and Risk Management

muEst returns a simple weighted average of the current return and the last period's return.

Description

muEst returns a simple weighted average of the current return and the last period's return.

Usage

muEst(r, mu0, sigma0, win_level = 4, lambda = 0.9)

Arguments

r	Current period return
mu0	Mean return from the last period
sigma0	Estimate of volatility from the last period. If unavailable, set sigma0 = 0
win_level	Number of standard deviations at which we winsorize (default: win_level =4)
lambda	Exponential weighting constant (default: lambda = 0.9)

kecoli/PCRM documentation built on May 7, 2022, 9:33 a.m.