View source: R/portfolio_fx_hedge.R
portfolio_fx_hedge | R Documentation |
Estimates the static hedging ratio per group. See Schmittmann (2010).
portfolio_fx_hedge(w, ref_curr, asset_data, series_list, series_fxfwd_list,
dates, hold_per = "1M", exp_ret = 0, group.by = "Asset",
bounded = TRUE, invest_assets = NULL)
w |
Portfolio weights. |
ref_curr |
Reference currency. |
asset_data |
Datafrane with info regarding each asset. |
series_list |
xts series (indexes and currencies). |
series_fxfwd_list |
xts fx forward series. Outrights and forward premiums. |
dates |
Initial and final dates. |
hold_per |
Holding period return. 1M or 3M. |
exp_ret |
Expected return over initial capital (1) over investment horizon.Given the difficulties to estimate the this value, it is assumed to be cero. |
group.by |
Set of assets that share the same hedging ratio. By default the grouping is per currency. c("All", "Asset_Class", "Asset", "Currency", "Country") |
bounded |
Hedge ratio bounded to the range 0-1. |
invest_assets |
Investable asset. By default: Index. It can be set to ETF or IA (investable asset). |
Fx hedge returns.
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