weigh_mvef: Title
In rengelke/tradr:
Description
Usage
Arguments
Value
Examples
Description
Title
Usage
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weigh_mvef(
R,
short = "no",
risk_premium = 0.5,
max_allocation = NULL,
tangency = FALSE
)
Arguments
R
xts object of asset returns
short
argument if short-selling is allowed, "no" by default
risk_premium
risk premium used for modelling
max_allocation
maximum fraction allowed for any of the asset positions
tangency
logical. Should a tangency portfolio, maximum sharpe ratio, be calculated
Value
xts object containing asset weights
Examples
1
weigh_mvef(stock_returns, max_allocation = 0.05, risk_premium = 0.4)
rengelke/tradr documentation built on Jan. 2, 2022, 2:03 p.m.
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Description Usage Arguments Value Examples
Description
Title
Usage
1 2 3 4 5 6 7 | weigh_mvef(
R,
short = "no",
risk_premium = 0.5,
max_allocation = NULL,
tangency = FALSE
)
|
Arguments
R |
xts object of asset returns |
short |
argument if short-selling is allowed, "no" by default |
risk_premium |
risk premium used for modelling |
max_allocation |
maximum fraction allowed for any of the asset positions |
tangency |
logical. Should a tangency portfolio, maximum sharpe ratio, be calculated |
Value
xts object containing asset weights
Examples
1 | weigh_mvef(stock_returns, max_allocation = 0.05, risk_premium = 0.4)
|
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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