beta2Hedge: Compute beta-neutral portfolio for two assets
In shill1729/trader: Mathematical finance analysis package
beta2Hedge R Documentation
Compute beta-neutral portfolio for two assets
Description
For two assets with one positive beta and one negative beta, the beta neutral portfolio is a simple
linear system that can be solved explicitly. The weights add up to one and the aggregate beta is zero. This function returns
these weights based off historical estimates of the betas.
Usage
beta2Hedge(symbol, period = "daily", key = "premium")
Arguments
symbol
the stock symbol ticker of the market-correlated asset
period
the time-series resolution "daily", "intraday", "weekly", or "monthly"
key
the tier of Alpha Vantage API key: "premium" or "free"
Value
vector
shill1729/trader documentation built on Dec. 27, 2022, 10:55 p.m.
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| beta2Hedge | R Documentation |
Compute beta-neutral portfolio for two assets
Description
For two assets with one positive beta and one negative beta, the beta neutral portfolio is a simple linear system that can be solved explicitly. The weights add up to one and the aggregate beta is zero. This function returns these weights based off historical estimates of the betas.
Usage
beta2Hedge(symbol, period = "daily", key = "premium")
Arguments
symbol |
the stock symbol ticker of the market-correlated asset |
period |
the time-series resolution "daily", "intraday", "weekly", or "monthly" |
key |
the tier of Alpha Vantage API key: "premium" or "free" |
Value
vector
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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