sim_dat: Simulated monthly retrun data of four different assets.

Description Usage Format

Description

A dataset containing the simulated monthly retrun data generated from multivariate normal distribution. These data have constant correlation of rho = 0.2 and mean return mu = c(0.01, 0.007, 0.008, 0.005) and volatility vol = c(0.009, 0.017, 0.020, 0.014).

Usage

1
data("sim_dat")

Format

An xts object with 120 rows and 4 columns:

V1

The asset has full history

V2

This asset has first 12 values missing

V3

This asset has first 12 values missing

V4

This asset has first 24 values missing


spushpak/UnequalReturnHist documentation built on May 24, 2019, 7:20 a.m.