Description Usage Arguments Value Author(s) References
This function implements Multiple Imputation Method folowing Page(2013)
1 | uneqhistMI(dat_xts, FUN, M = 100, saveReps = FALSE)
|
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". |
M |
is the number of replicates for multiple imputation. Default is 100. |
saveReps |
is a logical flag, to indicate whether the risk measures and GMV portfolio statistics need to be computed for all the replicates. Default is FALSE. |
Based on the value of the FUN
argument the function either returns the risk
measures or the GMV portfolio statistics. If saveReps
= TRUE, risk measures or
GMV portfolio statistics are returned for each replicate else the average over all
the replicates are returned.
risk_metrics |
If |
risk_vals |
If |
gmvPortfolio_list |
If |
gmvPortfolio |
If |
Pushpak Sarkar
Page, Sebastien (2013). "How to Combine Long and Short Return Histories Efficiently", Financial Analysts Journal, pp. 45-52.
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