get_growth_rate: Get exponential growth rate
In ngloe/olpsR: Algorithms and functions for On-line Portfolio Selection
Description
Usage
Arguments
Value
Examples
Description
calculates the exponential growth rate (i.e. expected log-return) from
the portfolio wealth
Usage
1
get_growth_rate(wealth)
Arguments
wealth
vector of portfolio wealth
Value
vector of the portfolio's exponential growth rate
Examples
1
2
3
4
5
6
7
8
9
10
# load data
data(NYSE)
# select stocks
x = cbind(comme=NYSE$comme, kinar=NYSE$kinar)
# specify portfolio weights
b = c(0.05, 0.05)
# calculate wealth
w = get_wealth(x, b)
# calculate exponential growth rate
get_growth_rate(w)
ngloe/olpsR documentation built on May 23, 2019, 4:42 p.m.
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Description Usage Arguments Value Examples
Description
calculates the exponential growth rate (i.e. expected log-return) from the portfolio wealth
Usage
1 | get_growth_rate(wealth)
|
Arguments
wealth |
vector of portfolio wealth |
Value
vector of the portfolio's exponential growth rate
Examples
1 2 3 4 5 6 7 8 9 10 | # load data
data(NYSE)
# select stocks
x = cbind(comme=NYSE$comme, kinar=NYSE$kinar)
# specify portfolio weights
b = c(0.05, 0.05)
# calculate wealth
w = get_wealth(x, b)
# calculate exponential growth rate
get_growth_rate(w)
|
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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