optimal: optimal
In vsrimurthy/EPFR: EPFR Quantitative Research Environment
optimal R Documentation
optimal
Description
Performance statistics of the optimal zero-cost unit-variance portfolio
Usage
optimal(x, y, n, w)
Arguments
x
= a matrix/data frame (indicators)
y
= a matrix/data frame (forward returns)
n
= a matrix/data frame (daily returns to train the risk model on)
w
= a numeric vector (the elements of which are: # : 1) number of trailing days to train the risk model on # : 2) number of principal components (when 0 raw return matrix is used) # : 3) number of bins (when 0, indicator is ptiled) # : 4) forward return window in days or months depending on the row space of <x>)
vsrimurthy/EPFR documentation built on Jan. 24, 2025, 1:27 p.m.
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| optimal | R Documentation |
optimal
Description
Performance statistics of the optimal zero-cost unit-variance portfolio
Usage
optimal(x, y, n, w)
Arguments
x |
= a matrix/data frame (indicators) |
y |
= a matrix/data frame (forward returns) |
n |
= a matrix/data frame (daily returns to train the risk model on) |
w |
= a numeric vector (the elements of which are: # : 1) number of trailing days to train the risk model on # : 2) number of principal components (when 0 raw return matrix is used) # : 3) number of bins (when 0, indicator is ptiled) # : 4) forward return window in days or months depending on the row space of <x>) |
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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