Description Usage Arguments Value Examples
View source: R/CQF_FA_Functions.R
This function creates all important descriptive statistics such as VaR, ES, Return for a portfolio
1 2 3 | PFstats(weights.vector, daily.returns.data.wide,
num.trade.days.per.year = 250, long.term.mean.return = 0,
long.term.sd.return = 0.01)
|
weights.vector |
vector that contains the relative weights of the individual assets of the portfolio |
daily.returns.data.wide |
data.frame including the daily returns of the specific assets as well as a reference date |
num.trade.days.per.year |
Number of trading days per year, default set to 250 |
a list with a data.frame PF.return.result.table that includes all statistics, as well as two graphs - histogram with returns and a correlation matrix
1 2 3 |
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