optimal: optimal

In vsrimurthy/EPFR: EPFR Quantitative Research Environment

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 April 10, 2024, 10:10 p.m.