Description Usage Arguments Value Examples
compute the wgt vector of multi-factors by CAPM model.
1 2 3 | MC.wgt.CAPM(TSFRs, stat = c("pearson", "spearman"), wgtmin = 0,
wgtmax = 0.5, targetType = c("sharpe", "return", "risk", "balance"),
riskaversion = 1, reg_results)
|
TSFRs |
a list of object TSFR. See |
stat |
a character string,indicating the methods to compute IC,could be "pearson" or "spearman". |
wgtmin |
set minimal factor weight. |
wgtmax |
set maximal factor weight. |
targetType |
optimization's target type, could be "return" or "risk" or "sharpe" or 'balance',default value is "sharpe". |
riskaversion |
risk aversion parameter for "balance" target. |
reg_results |
See |
a factor weight vector
1 2 3 4 5 6 7 8 9 10 11 12 | mp <- modelPar.default()
factorIDs <- c("F000001","F000004","F000005","F000008")
FactorLists <- buildFactorLists_lcfs(factorIDs)
mps <- getMPs_FactorLists(FactorLists,modelPar=mp)
TSR <- Model.TSR(mp)
TSFRs <- Model.TSFs_byTS(MPs=mps,TS=TSR)
MC.wgt.CAPM(TSFRs)
MC.wgt.CAPM(TSFRs,wgtmin=0.05,wgtmax=0.4,targetType='risk')
MC.wgt.CAPM(TSFRs,wgtmin=0.05,wgtmax=0.4,targetType='balance',riskaversion = 10)
-----------------------------------------------------------------------------
MC.wgt.CAPM(reg_results=reg_results)
MC.wgt.CAPM(wgtmin=0.05,wgtmax=0.4,targetType='balance',reg_results=reg_results)
|
Add the following code to your website.
For more information on customizing the embed code, read Embedding Snippets.