port_return: Porfolio returns

View source: R/port_return.R

port_returnR Documentation

Porfolio returns

Description

Estimates de covariance using weighted averages of products of past returns.

Usage

port_return(series, weights, horizon)

Arguments

series

data frame with return series.

weights

Weights. It can be a declining function of time.

horizon

Horizon

Value

Covariance matrix and volatility of each variable.


veldanie/SuraInvestmentAnalytics documentation built on Feb. 5, 2024, 5:50 a.m.