Description Usage Arguments Value Author(s) References
This function implements Combined Backfill for Multiple Asset Groups
1 | uneqhistCBF(dat_xts, FUN)
|
dat_xts |
xts object containing the returns data for multiple assets with unequal return history. |
FUN |
indicates whether risk measures or the Global Minimum Variance (GMV) portfolio statistics such as portfolio weights, portfolio reurn, portfolio standard deviation, portfolio sharpe ratio need to be computed. Two possible values are "riskMeasures" and "gmvPortfolio". |
Based on the value of the FUN
argument the function either
returns the risk measures or the GMV portfolio statistics.
risk_metrics |
A matrix of risk measures for the whole combined backfilled dataset. |
gmvPortfolio_list |
A list containing the Global Minimum Variance portfolio weights and portfolio statistics such as portfolio return, portfolio standard deviation and portfolio sharpe ratio. |
Pushpak Sarkar
Jiang, Y. and Martin, R. D. (2016). "Turning Long and Short Return Histories into Equal Histories: A Better Way to Backfill Returns", https://ssrn.com/abstract=2833057.
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