implied_return: Equilibrium returns

In veldanie/SuraInvestmentAnalytics: Investment Analytics

Equilibrium returns

Description

Takes the risk aversion coefficient, the covariance matrix and the market cap weights.

Usage

implied_return(lambda, Sigma, w, per = 12, rfr = 0)

Arguments

lambda	risk aversion coefficient.
Sigma	covariance matrix.
w	Named vector of market capitalization weigths.
per	returns period expressed as number of periods per year.
rfr	Risk free rate conrresponding to the same period.

Value

Named vector of equilibrium returns. Annualized and not. The return is assumed to be continuous, i.e. estimated using natural log.

veldanie/SuraInvestmentAnalytics documentation built on March 29, 2025, 7:43 p.m.