approx_dret_dw: Estimates derivative of portfolio volatility w.r.t. w.
In veldanie/SuraInvestmentAnalytics: Investment Analytics
View source: R/approx_dret_dw.R
approx_dret_dw R Documentation
Estimates derivative of portfolio volatility w.r.t. w.
Description
Estimates derivative of portfolio volatility w.r.t. w.
Usage
approx_dret_dw(series, w, delta_val = 0.01, freq = 12)
Arguments
series
xts return series.
w
Portfolio weights.
delta_val
weight variation.
freq
times per year.
Value
Discrete derivative for each asset.
veldanie/SuraInvestmentAnalytics documentation built on April 14, 2024, 10:29 p.m.
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View source: R/approx_dret_dw.R
| approx_dret_dw | R Documentation |
Estimates derivative of portfolio volatility w.r.t. w.
Description
Estimates derivative of portfolio volatility w.r.t. w.
Usage
approx_dret_dw(series, w, delta_val = 0.01, freq = 12)
Arguments
series |
xts return series. |
w |
Portfolio weights. |
delta_val |
weight variation. |
freq |
times per year. |
Value
Discrete derivative for each asset.
R Package Documentation
Browse R Packages
We want your feedback!
Note that we can't provide technical support on individual packages. You should contact the package authors for that.
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