port_limits: Estimates lower and upper limits of portfolio.

In veldanie/SuraInvestmentAnalytics: Investment Analytics

Estimates lower and upper limits of portfolio.

Description

Estimates lower and upper limits of portfolio.

Usage

port_limits(port_series, series, w, port_vol_lim, perc_ret_var = 0.2,
  freq = 12, N = 1000, vol_factor = 0.1, min_max_q = c(0.975, 0.6),
  bias_bound_lim = 0.9, dw = 0.01)

Arguments

port_series	xts portfolio return series.
series	xts return series.
w	Portfolio weights.
freq	Returns period as times per year.
N	Sample size to estimate vol. of each weight.
vol_factor	Constant that multiplies portfolio volatility to perturbate portfolio returns for bootstrapping procedure.
min_max_q	Min and max probability associated to min and max weights standard deviation.
bias_bound_lim	If prob. of certain weight is larger than this param., then no bias-limit is imposed.
dw	weight variation.
port_vol_ann_lim	Anualized volatility portfolio limits.
sharpe	User Sharpe or vol.

Value

lower and upper limits of portfolio.

veldanie/SuraInvestmentAnalytics documentation built on Sept. 17, 2024, 6:49 p.m.