gen_virtual_market: Generate virtual market
In ngloe/olpsR: Algorithms and functions for On-line Portfolio Selection
Description
Usage
Arguments
Details
Value
References
Examples
Description
generates a virtual market consisting of two assets, where one remains constant and
the other doubles and halfs by turns.
Usage
1
gen_virtual_market(t, ret = "x")
Arguments
t
number of periods
ret
return method: specifies whether returns (price relatives) (ret="x") or prices (ret="q") are returned
Details
The virtual market is often used to illustrate the idea of online portfolio selection algorithms.
For details see Cover and Gluss 1986 and Li and Hoi 2014.
Value
Matrix with asset prices or returns (price relatives)
References
Li, B.; Hoi, S.
Online Portfolio Selection: A Survey,
ACM Comput. Surv., 2014
Cover, T. M.; Gluss, D.H.
Empirical Bayes stock market portfolios,
Advances in Applied Mathematics, 1986
Examples
1
2
gen_virtual_market(10, ret="x")
gen_virtual_market(10, ret="q")
ngloe/olpsR documentation built on May 23, 2019, 4:42 p.m.
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Description Usage Arguments Details Value References Examples
Description
generates a virtual market consisting of two assets, where one remains constant and the other doubles and halfs by turns.
Usage
1 | gen_virtual_market(t, ret = "x")
|
Arguments
t |
number of periods |
ret |
return method: specifies whether returns (price relatives) ( |
Details
The virtual market is often used to illustrate the idea of online portfolio selection algorithms. For details see Cover and Gluss 1986 and Li and Hoi 2014.
Value
Matrix with asset prices or returns (price relatives)
References
Li, B.; Hoi, S. Online Portfolio Selection: A Survey, ACM Comput. Surv., 2014
Cover, T. M.; Gluss, D.H. Empirical Bayes stock market portfolios, Advances in Applied Mathematics, 1986
Examples
1 2 | gen_virtual_market(10, ret="x")
gen_virtual_market(10, ret="q")
|
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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