semivar: Semivariance hedge ratio
In sieunyi/Hedge: "Hedge" analyzes whether futures are an effective tool for hedging and how effective they are based on the calculated optimal hedge ratio

This function will calculate the single commodity hedge ratio by minimizing the semi variance of the returns.

1	semivar(v, w)

`v`	length(WinLen x 1) price vector
`w`	length(WinLen x 1) column vector for weight

semivariance of the input vector, returns a scalar

WinLen=15
w <- (matrix(1, WinLen, 1)) / WinLen
v <- matrix(runif(WinLen, min=0, max=10), WinLen, 1)
semivar(v,w) #return scalar

sieunyi/Hedge documentation built on Dec. 23, 2021, 2:20 a.m.

sieunyi/Hedge index

README.md

Note that we can't provide technical support on individual packages. You should contact the package authors for that.

Description