sim.optimal: sim.optimal

In vsrimurthy/EPFR: EPFR Quantitative Research Environment

sim.optimal

Description

returns named vector of optimal portfolio weights

Usage

sim.optimal(x, y, n, w, h, u)

Arguments

x	= a data frame (with columns Alp/Bmk/Sec/Ctry)
y	= a numeric vector (initial weight)
n	= an integer (name active limit)
w	= an integer vector (group limits, names correspond to columns in <x>)
h	= an integer (quintile to sell, stocks in bin <h> and higher are flushed)
u	= an integer (between 0 and 100)

See Also

Other sim: sim.direction.buy, sim.direction.sell, sim.direction, sim.fetch, sim.limits, sim.overall, sim.seed, sim.summ, sim.trade.grp, sim.trade.stk

vsrimurthy/EPFR documentation built on April 10, 2024, 10:10 p.m.