betaHedge2: Compute the beta-neutral portfolio for one market-correlated...
In shill1729/trader: Mathematical finance analysis package
betaHedge2 R Documentation
Compute the beta-neutral portfolio for one market-correlated asset hedged with a inversely correlated asset.
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
betaHedge2(arithmeticReturns)
Arguments
arithmeticReturns
the multivariate time-series of returns. Assumes the first column is the benchmark, e.g. S&P 500
Value
vector of betas
shill1729/trader documentation built on Dec. 27, 2022, 10:55 p.m.
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| betaHedge2 | R Documentation |
Compute the beta-neutral portfolio for one market-correlated asset hedged with a inversely correlated asset.
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
betaHedge2(arithmeticReturns)
Arguments
arithmeticReturns |
the multivariate time-series of returns. Assumes the first column is the benchmark, e.g. S&P 500 |
Value
vector of betas
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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