Description Usage Arguments Value Note Examples
computes Buy-and-Hold portfolio for given weigths.
1 |
returns |
Matrix of price relatives, i.e., the ratio of the closing
(opening) price today and the day before (use function
|
weights |
vector of portfolio weights for the Buy-and-Hold portfolio |
Object of class OLP containing
Alg |
Name of the Algorithm |
Names |
vector of asset names in the portfolio |
Weights |
calculated portfolio weights as a vector |
Wealth |
wealth achieved by the portfolio as a vector |
mu |
exponential growth rate |
APY |
annual percantage yield (252 trading days) |
sigma |
standard deviation of exponential growth rate |
ASTDV |
annualized standard deviation (252 trading days) |
MDD |
maximum draw down (downside risk) |
SR |
Sharpe ratio |
CR |
Calmar ratio |
see also print.OLP
, plot.OLP
The print method for OLP
objects prints only a short summary.
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