asset_universe: Asset Universe
In veldanie/SuraInvestmentAnalytics: Investment Analytics
View source: R/asset_universe.R
asset_universe R Documentation
Asset Universe
Description
Suggests a set of assets.
Usage
asset_universe(mean_rets, cov_matrix, n_assets_univ, lambda = 0.1)
Arguments
mean_rets
Named vector of mean returns. Can be implied returns.
cov_matrix
(Annualized) Covariance matrix.
n_assets_univ
Number of assets in the ivestable universe
lambda
Correlation penalty.
Value
Vector of asset names selected. The names are in order, meaning the i position in the output vector is the i-th asset selected.
veldanie/SuraInvestmentAnalytics documentation built on April 14, 2024, 10:29 p.m.
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View source: R/asset_universe.R
| asset_universe | R Documentation |
Asset Universe
Description
Suggests a set of assets.
Usage
asset_universe(mean_rets, cov_matrix, n_assets_univ, lambda = 0.1)
Arguments
mean_rets |
Named vector of mean returns. Can be implied returns. |
cov_matrix |
(Annualized) Covariance matrix. |
n_assets_univ |
Number of assets in the ivestable universe |
lambda |
Correlation penalty. |
Value
Vector of asset names selected. The names are in order, meaning the i position in the output vector is the i-th asset selected.
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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