Description Usage Arguments Value References
Asset allocation algorithm from Keller (2014-12-30). EAA performs asset selection and weighting based on weights for returns, volatility, and correlation to the equally-weighted universe.
1 2 3 4 5 |
monthlyPrices |
a price series using monthly data |
wR |
the weight to place on returns (default 1) |
wV |
the weight for volatility (default 0) |
wC |
the weight for correlations (default .5) |
wS |
a selection aggressiveness weight. A weight of infinity will result in a single security. A weight of 0 will result in near equal weights of the selected securities. (default 2) |
errorJitter |
a small error term due to volatility in the denomiantor (default 1e-6) |
cashAsset |
the name (string) of the asset to be used as the cash asset. If NULL, will result in zeroes. (default NULL) |
bestN |
the number of securities to select every period (default 1 + square root of number of assets in universe) |
enableCrashProtection |
if enabled, will result in weights being multiplied by 1-n/(size of universe), where n is the number of securities with negative absolute returns (default TRUE) |
returnWeights |
whether or not to return the portfolio weights along with the returns in a list format (default FALSE) |
monthlyRiskFree |
if provided, a time series of prices of a risk-free asset (E.G.: IRX), for use in subtracting from asset returns to compute asset returns (default NULL) |
a monthly xts of the strategy's returns
https://quantstrattrader.wordpress.com/2015/01/03/for-a-new-year-a-new-asset-allocation-system-just-published-in-ssrn/
http://papers.ssrn.com/sol3/papers.cfm?abstract_id=2543979
Add the following code to your website.
For more information on customizing the embed code, read Embedding Snippets.