prdce: Portfolio risk decomposition

In monkeypicked/aace: Covariance estimation

Description

Portfolio risk decomposition

Usage

prdce(x = getce(), po = poce(x), scaletovol = FALSE, security = FALSE)

Arguments

x	object of class ce
po	column matrix of portfolio weights with rownames=identifiers
scaletovol	flag : scale variance contributions by 1/sqrt(total variance), so 'units of variance are rescaled to add up to portfolio vol'
security	flags use of variance only

Value

identifiers : matrix, rows are securities, columns are M=Market, S=Systematic, R=Residual, TOT=total, F1=factor1 vol

Author(s)

Giles Heywood

See Also

Other extractors: buice, devce, face, fmpce, fulce, genfrdce, ldgce, ldggmace, metce, mktce, msce, msrtce, quace, resce, scoce, sdvce, spvce, stce, sysce, unqce, vcvce, vfuce

monkeypicked/aace documentation built on May 23, 2019, 6:10 a.m.