asset_stdev_contrib: Asset contribution to portfolio standard deviation
In samthorold/riskparity: Asset allocation for risk parity
View source: R/asset_stdev_contrib.R
asset_stdev_contrib R Documentation
Asset contribution to portfolio standard deviation
Description
Asset contribution to portfolio standard deviation
Usage
asset_stdev_contrib(w, s, C, marginal = FALSE)
Arguments
w
matrix
s
matrix
C
matrix
marginal
bool
Value
vector
Examples
w <- matrix(c(.55, .25, .2))
s <- matrix(c(.24, .18, .15))
C <- matrix(c(1, 0.85, 0.3, 0.85, 1, -0.15, 0.3, -0.15, 1), nrow = 3)
asset_stdev_contrib(w, s, C)
asset_stdev_contrib(w, s, C, marginal = TRUE)
samthorold/riskparity documentation built on March 20, 2022, 4:03 p.m.
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View source: R/asset_stdev_contrib.R
| asset_stdev_contrib | R Documentation |
Asset contribution to portfolio standard deviation
Description
Asset contribution to portfolio standard deviation
Usage
asset_stdev_contrib(w, s, C, marginal = FALSE)
Arguments
w |
matrix |
s |
matrix |
C |
matrix |
marginal |
bool |
Value
vector
Examples
w <- matrix(c(.55, .25, .2)) s <- matrix(c(.24, .18, .15)) C <- matrix(c(1, 0.85, 0.3, 0.85, 1, -0.15, 0.3, -0.15, 1), nrow = 3) asset_stdev_contrib(w, s, C) asset_stdev_contrib(w, s, C, marginal = TRUE)
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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