computeAlphas: Estimate alpha from OLS estimate of a linear regression...
In shill1729/trader: Mathematical finance analysis package
computeAlphas R Documentation
Estimate alpha from OLS estimate of a linear regression against benchmark returns
Description
Compute historical estimates for the alphas of a sample of assets. These are
based on a linear regression of the arithmetic returns of each asset against that of the benchmark index.
Usage
computeAlphas(arithmeticReturns)
Arguments
arithmeticReturns
the multivariate time-series of returns. Assumes the first column is the benchmark, e.g. S&P 500
Value
vector
shill1729/trader documentation built on Dec. 27, 2022, 10:55 p.m.
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| computeAlphas | R Documentation |
Estimate alpha from OLS estimate of a linear regression against benchmark returns
Description
Compute historical estimates for the alphas of a sample of assets. These are based on a linear regression of the arithmetic returns of each asset against that of the benchmark index.
Usage
computeAlphas(arithmeticReturns)
Arguments
arithmeticReturns |
the multivariate time-series of returns. Assumes the first column is the benchmark, e.g. S&P 500 |
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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