View source: R/approx_dsharpe_dw.R
approx_dsharpe_dw | R Documentation |
Estimates derivative of portfolio volatility w.r.t. w.
approx_dsharpe_dw(series, w, delta_val = 0.01, freq = 12)
series |
xts return series. |
w |
Portfolio weights. |
delta_val |
weight variation. |
freq |
times per year. |
Discrete derivative for each asset.
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