approx_dvol_dw: Estimates derivative of portfolio volatility w.r.t. w.

View source: R/approx_dvol_dw.R

approx_dvol_dwR Documentation

Estimates derivative of portfolio volatility w.r.t. w.

Description

Estimates derivative of portfolio volatility w.r.t. w.

Usage

approx_dvol_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 Sept. 17, 2024, 6:49 p.m.